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Stable Multilevel Deep Neural Networks for Option Pricing and xVAs Using Forward-Backward Stochastic Differential Equations

Aadhithya Ashok Naarayan, Panos Parpas. Stable Multilevel Deep Neural Networks for Option Pricing and xVAs Using Forward-Backward Stochastic Differential Equations. In Proceedings of the 5th ACM International Conference on AI in Finance, ICAIF 2024, Brooklyn, NY, USA, November 14-17, 2024. pages 336-343, ACM, 2024. [doi]

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