Deep PPDEs for Rough Local Stochastic Volatility
21 Pages Posted: 17 Jun 2019
Date Written: June 6, 2019
We introduce the notion of rough local stochastic volatility models, extending the classical concept to the case where volatility is driven by some Volterra process. In this setting, we show that the pricing function is the solution to a path-dependent PDE, for which we develop a numerical scheme based on Deep Learning techniques. Numerical simulations suggest that the latter is extremely efficient, and provides a good alternative to classical Monte Carlo simulations.
Keywords: rough volatility, Deep learning, Path-dependent PDEs
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