Gaspar, Raquel M.; Lopes, Sara Dutra; Sequeira, Bernardo - In: Risks : open access journal 8 (2020) 3/73, pp. 1-24
In this study, we use Neural Networks (NNs) to price American put options. We propose two NN models-a simple one and a more complex one-and we discuss the performance of two NN models with the Least-Squares Monte Carlo (LSM) method. This study relies on American put option market prices, for...