Differential machine learning with a difference
A technique to improve approximations for pricing derivatives with discontinuous payoffs is introduced
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Differential machine learning is a technique for training fast approximations to complex pricing models by targeting price sensitivities as well as prices. In its original form, this method requires payout continuity, ruling out barrier and digital features. Paul Glasserman and Siddharth Hemant Karmarkar expand the scope of the method to remove this limitation
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