Machine-learning regression methods for American-style path-dependent contracts
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Cites work
- A finite-dimensional approximation for pricing moving average options
- A lattice algorithm for pricing moving average barrier options
- Chebyshev interpolation for parametric option pricing
- Differential equations driven by rough signals
- Discretely sampled signals and the rough Hoff process
- Embedding and learning with signatures
- Extensions of Lipschitz mappings into a Hilbert space
- Finite-dimensional representations for controlled diffusions with delay
- Integration of paths, geometric invariants and a generalized Baker-Hausdorff formula
- Iterated path integrals
- Moving average options: machine learning and Gauss-Hermite quadrature for a double non-Markovian problem
- Neural network regression for Bermudan option pricing
- Numerical Method for Model-free Pricing of Exotic Derivatives in Discrete Time Using Rough Path Signatures
- Numerical methods for the pricing of swing options: a stochastic control approach
- Optimal Stopping via Randomized Neural Networks
- Optimal surrender policy for variable annuity guarantees
- Pricing autocallables under local-stochastic volatility
- Pricing of high-dimensional American options by neural networks
- Swing option pricing consistent with futures smiles
- The pricing of options and corporate liabilities
- Uniqueness for the signature of a path of bounded variation and the reduced path group
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