Supervised Machine Learning with Control Variates for American Option Pricing
, , and
Oct 27, 2018
About this article
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
© 2018 Gang Mu, published by Sciendo
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.
Mu, Gang
School of Mathematical Sciences, Tongji University, 200092,Shanghai, China
F. Hoffmann-La Roche AG, Grenzacherstrasse 124, 4070Basel, Switzerland
Godina, Teodor
F. Hoffmann-La Roche AG, Grenzacherstrasse 124, 4070Basel, Switzerland
Maffia, Antonio
F. Hoffmann-La Roche AG, Grenzacherstrasse 124, 4070Basel, Switzerland
Department of Mathematics and Computer Science, University of Basel,Basel, Switzerland
Sun, Yong Chao
School of Mathematical Sciences, Tongji University, 200092,Shanghai, China