Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models
Ludovic Goudenège, Andrea Molent and Antonino Zanette
| 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 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2019.1701698 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012194908