Concepedia
2
Publications
69
Citations
H-Index
2019
Active since
Affiliations
University of Waterloo(Current)
Yangang Chen is an author at University of Waterloo specializing in engineering, computer science, and machine learning.
Top concepts
EngineeringDeep LearningOption PricingComputer ScienceMachine Learning
Publications per year
2019–2020
Deep neural network framework based on backward stochastic differential equations for pricing and hedging American options in high dimensions
Yangang Chen, Justin W. L. Wan · Quantitative Finance · 2020 · 53 citations
Geometric Learning, Option Pricing, High Dimensions +12
Deep Neural Network Framework Based on Backward Stochastic Differential Equations for Pricing and Hedging American Options in High Dimensions
Yangang Chen, Justin W. L. Wan · arXiv (Cornell University) · 2019 · 16 citations · Full text
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