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Journals
Foundations of Computing and Decision Sciences
Volume 43 (2018): Issue 3 (September 2018)
Open Access
Supervised Machine Learning with Control Variates for American Option Pricing
Gang Mu
Gang Mu
School of Mathematical Sciences, Tongji University, 200092,
Shanghai, China
F. Hoffmann-La Roche AG, Grenzacherstrasse 124, 4070
Basel, Switzerland
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Mu, Gang
,
Teodor Godina
Teodor Godina
F. Hoffmann-La Roche AG, Grenzacherstrasse 124, 4070
Basel, Switzerland
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Godina, Teodor
,
Antonio Maffia
Antonio Maffia
F. Hoffmann-La Roche AG, Grenzacherstrasse 124, 4070
Basel, Switzerland
Department of Mathematics and Computer Science, University of Basel,
Basel, Switzerland
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Maffia, Antonio
and
Yong Chao Sun
Yong Chao Sun
School of Mathematical Sciences, Tongji University, 200092,
Shanghai, China
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Sun, Yong Chao
Oct 27, 2018
Foundations of Computing and Decision Sciences
Volume 43 (2018): Issue 3 (September 2018)
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Published Online:
Oct 27, 2018
Page range:
207 - 217
Received:
Feb 02, 2018
Accepted:
Sep 05, 2018
DOI:
https://doi.org/10.1515/fcds-2018-0011
Keywords
American options
,
Monte Carlo
,
Gaussian processes
,
Kriging
,
LSM
,
supervised learning
,
Heston Model
,
control variates
© 2018 Gang Mu, published by Sciendo
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.
