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Jiefei Yang
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Year
Gradient-enhanced sparse Hermite polynomial expansions for pricing and hedging high-dimensional American options
J Yang, G Li
arXiv preprint arXiv:2405.02570, 2024
12024
On Sparse Grid Interpolation for American Option Pricing with Multiple Underlying Assets
J Yang, G Li
arXiv preprint arXiv:2309.08287, 2023
12023
A deep primal-dual BSDE method for optimal stopping problems
J Yang, G Li
arXiv preprint arXiv:2409.06937, 2024
2024
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Articles 1–3