Moving average options: machine learning and Gauss-Hermite quadrature for a double non-Markovian problem (Q2158055)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Moving average options: machine learning and Gauss-Hermite quadrature for a double non-Markovian problem |
scientific article |
Statements
Moving average options: machine learning and Gauss-Hermite quadrature for a double non-Markovian problem (English)
0 references
22 July 2022
0 references
(B) finance
0 references
moving average options
0 references
Gaussian process regression
0 references
Gauss-Hermite quadrature
0 references
binomial tree
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references