Cornelis W. Oosterlee

A Deep BSDE Approach for the Simultaneous Pricing and Delta-Gamma Hedging of Large Portfolios Consisting of High-Dimensional Multi-asset Bermudan Options

Abstract. A deep BSDE approach is presented for the pricing and delta-gamma hedging of high-dimensional Bermudan options with applications in portfolio risk management. Large portfolios of a mixture of multi-asset European and Bermudan derivatives are cast into the framework of d...