Narayan Ganesan, Yajie Yu, Bernhard Hientzsch
This paper presents a novel and direct approach to price boundary and final-value problems, corresponding to barrier options, using forward deep learning to solve forward-backward stochastic differential equations (FBSDEs). Barrier instruments are instruments that expire or transform into another instrument if a barrier condition is satisfied before maturity; otherwise they perform like the instrument without the barrier condition. In the PDE formulation, this corresponds to adding boundary cond...
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