Deep Curve-dependent PDEs for affine rough volatility
Pricing of Securities
2023-01-04 v3
Abstract
We introduce a new deep-learning based algorithm to evaluate options in affine rough stochastic volatility models. Viewing the pricing function as the solution to a curve-dependent PDE (CPDE), depending on forward curves rather than the whole path of the process, for which we develop a numerical scheme based on deep learning techniques. Numerical simulations suggest that the latter is a promising alternative to classical Monte Carlo simulations.
Cite
@article{arxiv.1906.02551,
title = {Deep Curve-dependent PDEs for affine rough volatility},
author = {Antoine Jacquier and Mugad Oumgari},
journal= {arXiv preprint arXiv:1906.02551},
year = {2023}
}
Comments
22 pages, 10 figures, 4 tables -- Revised version