PRICING OF HIGH-DIMENSIONAL AMERICAN OPTIONS BY NEURAL NETWORKS

DOI10.1111/j.1467-9965.2010.00404.xzbMath1195.91160OpenAlexW1925448229MaRDI QIDQ3576955

Nebojsa Todorovic, Adam Krzyżak, Michael Kohler

Publication date: 3 August 2010

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00404.x

zbMATH Keywords

rate of convergenceconsistencyneural networksoptimal stoppingAmerican optionsnonparametric regressionregression-based Monte Carlo methods

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

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