Pricing of American options in discrete time using least squares estimates with complexity penalties (Q433745): Difference between revisions
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| Property / Mathematics Subject Classification ID: 62P05 / rank | |||
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| Property / Mathematics Subject Classification ID: 62G08 / rank | |||
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| Property / Mathematics Subject Classification ID: 91G20 / rank | |||
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| Property / Mathematics Subject Classification ID: 62G20 / rank | |||
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| Property / Mathematics Subject Classification ID: 65C05 / rank | |||
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| Property / Mathematics Subject Classification ID: 65D07 / rank | |||
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| Property / zbMATH DE Number: 6053537 / rank | |||
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neural networks | |||
| Property / zbMATH Keywords: neural networks / rank | |||
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nonparametric regression | |||
| Property / zbMATH Keywords: nonparametric regression / rank | |||
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optimal stopping | |||
| Property / zbMATH Keywords: optimal stopping / rank | |||
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orthogonal series estimates | |||
| Property / zbMATH Keywords: orthogonal series estimates / rank | |||
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rate of convergence | |||
| Property / zbMATH Keywords: rate of convergence / rank | |||
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regression based Monte Carlo methods | |||
| Property / zbMATH Keywords: regression based Monte Carlo methods / rank | |||
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smoothing splines | |||
| Property / zbMATH Keywords: smoothing splines / rank | |||
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Revision as of 23:29, 29 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing of American options in discrete time using least squares estimates with complexity penalties |
scientific article |
Statements
Pricing of American options in discrete time using least squares estimates with complexity penalties (English)
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6 July 2012
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neural networks
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nonparametric regression
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optimal stopping
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orthogonal series estimates
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rate of convergence
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regression based Monte Carlo methods
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smoothing splines
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