Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models
Author:
Affiliation:
1. Féderation de Mathématiques de CentraleSupélec – CNRS FR3487, Gif-sur-Yvette, France
2. Dipartimento di Scienze Economiche e Statistiche, Università degli Studi di Udine, Udine, Italy
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2019.1701698
Reference28 articles.
1. American Options by Malliavin Calculus and Nonparametric Variance and Bias Reduction Methods
2. High order discretization schemes for the CIR process: Application to affine term structure and Heston models
3. First-Order Schemes in the Numerical Quantization Method
4. Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach
5. Pricing under rough volatility
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