Machine-learning regression methods for American-style path-dependent contracts

DOI10.1080/14697688.2025.2517272MaRDI QIDQ6937519zbMATH OpenFDO

Authors Giulia Livieri, Andrea Pallavicini

Publication date 26 August 2025

Published in Quantitative Finance (Search for Journal in Brave)

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Derivative securities (option pricing, hedging, etc.) (91G20) Stopping times; optimal stopping problems; gambling theory (60G40)

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