Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models (Q4991044)
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scientific article; zbMATH DE number 7353654
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| English | Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models |
scientific article; zbMATH DE number 7353654 |
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Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models (English)
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2 June 2021
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machine learning
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American options
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multi-dimensional Black-Scholes model
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rough Bergomi model
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binomial tree method
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exact integration
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0.7721019983291626
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0.769025444984436
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0.7677223682403564
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0.7553688883781433
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