Automatic control variates for option pricing using neural networks.

Fri, 01 Jan 2021 00:00:00 +0100

Zineb El Filali Ech-Chafiq , Jérôme Lelong, Adil Reghai:
Automatic control variates for option pricing using neural networks. Monte Carlo Methods Appl. 27(2): 91-104 (2021)