Supervised Machine Learning with Control Variates for American Option Pricing
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27 oct 2018
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Publicado en línea: 27 oct 2018
Páginas: 207 - 217
Recibido: 02 feb 2018
Aceptado: 05 sept 2018
DOI: https://doi.org/10.1515/fcds-2018-0011
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© 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