Pricing of American options in discrete time using least squares estimates with complexity penalties
DOI10.1016/J.JSPI.2012.02.031zbMATH Open1244.62149OpenAlexW2059927071MaRDI QIDQ433745FDOQ433745
Publication date: 6 July 2012
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jspi.2012.02.031
nonparametric regressionrate of convergenceneural networksoptimal stoppingsmoothing splinesorthogonal series estimatesregression based Monte Carlo methods
Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical computation using splines (65D07)
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Cited In (5)
- Smoothing spline regression estimation based on real and artificial data
- Second-order integro-differential parabolic variational inequalities arising from the valuation of American option
- Estimation of a density using an improved surrogate model
- ON THE CONSISTENCY OF REGRESSION‐BASED MONTE CARLO METHODS FOR PRICING BERMUDAN OPTIONS IN CASE OF ESTIMATED FINANCIAL MODELS
- Solving high-dimensional optimal stopping problems using deep learning
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