Pricing of American options in discrete time using least squares estimates with complexity penalties (Q433745)
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scientific article; zbMATH DE number 6053537
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| English | Pricing of American options in discrete time using least squares estimates with complexity penalties |
scientific article; zbMATH DE number 6053537 |
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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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0.8656806945800781
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0.8521490097045898
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0.8387163281440735
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0.8352540731430054
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0.8165450692176819
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