PRICING OF HIGH-DIMENSIONAL AMERICAN OPTIONS BY NEURAL NETWORKS (Q3576955)

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PRICING OF HIGH-DIMENSIONAL AMERICAN OPTIONS BY NEURAL NETWORKS
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    PRICING OF HIGH-DIMENSIONAL AMERICAN OPTIONS BY NEURAL NETWORKS (English)
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    3 August 2010
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    American options
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    neural networks
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    consistency
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    nonparametric regression
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    optimal stopping
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    rate of convergence
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    regression-based Monte Carlo methods
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