Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models
Year of publication: |
2020
|
---|---|
Authors: | Goudenège, Ludovic ; Molent, Andrea ; Zanette, Antonino |
Subject: | American options | Binomial tree method | Exact integration | Machine learning | Multi-dimensional Black-Scholes model | Rough Bergomi model | Künstliche Intelligenz | Artificial intelligence | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model | Optionsgeschäft | Option trading | Markov-Kette | Markov chain |
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