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PRICING OF HIGH-DIMENSIONAL AM...
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Option pricing theory
Nonparametric regression
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Kohler, Michael
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Advances in statistical analysis : AStA ; a journal of the German Statistical Society
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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A regression-based smoothing spline Monte Carlo algorithm for pricing American options in discrete time
Kohler, Michael
- In:
Advances in statistical analysis : AStA ; a journal of …
92
(
2008
)
2
,
pp. 153-178
Persistent link: https://www.econbiz.de/10003716614
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Pricing of high-dimensional American options by neural networks
Kohler, Michael
;
Krzyżak, Adam
;
Todorović, Nebojša
- In:
Mathematical finance : an international journal of …
20
(
2010
)
3
,
pp. 383-410
Persistent link: https://www.econbiz.de/10008665062
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