Konsep Inti
テンソルニューラルネットワークは、バーミューダンスワップションの価格設定において、高い精度と収束性を提供する。
Statistik
Deep-learning techniques have been used to solve the backward Stochastic Differential Equation associated with the value process for European and Bermudan Swaptions.
Tensor Neural Networks can provide significant parameter savings while attaining the same accuracy as classical Dense Neural Networks.
The Cheyette model is widely used to price interest rate derivatives such as European and Bermudan Swaptions.