A deep learning-based Monte Carlo algorithm with applications in American options pricing
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Cites work
- Convergence and biases of Monte Carlo estimates of American option prices using a parametric exercise rule
- Deep neural networks algorithms for stochastic control problems on finite horizon: convergence analysis
- Deep optimal stopping
- Iterative construction of the optimal Bermudan stopping time
- Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models
- Machine learning for quantitative finance: fast derivative pricing, hedging and fitting
- Monte Carlo valuation of American options
- Neural optimal stopping boundary
- On the rate of convergence of fully connected deep neural network regression estimates
- On the rates of convergence of simulation-based optimization algorithms for optimal stopping problems
- Optimal approximation of piecewise smooth functions using deep ReLU neural networks
- Pricing American options by exercise rate optimization
- Pricing American Options: A Duality Approach
- Pricing high-dimensional American options by kernel ridge regression
- Pricing High-Dimensional Bermudan Options with Hierarchical Tensor Formats
- Pricing of high-dimensional American options by neural networks
- Pricing under rough volatility
- Quantitative error estimates for a least-squares Monte Carlo algorithm for American option pricing
- Randomized Optimal Stopping Algorithms and Their Convergence Analysis
- Valuation of the early-exercise price for options using simulations and nonparametric regression
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