A Gaussian process based method with deep kernel learning for pricing high-dimensional American options
Jirong Zhuang, Deng Ding, Weiguo Lu, Xuan Wu, Gangnan Yuan
| Year of publication: |
2025
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|---|---|
| Authors: | Zhuang, Jirong ; Ding, Deng ; Lu, Weiguo ; Wu, Xuan ; Yuan, Gangnan |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 66.2025, 5, p. 3687-3708
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| Subject: | Deep kernel learning | Gaussian process | High-dimensional american option | Machine learning | Regression based monte carlo method | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Optionsgeschäft | Option trading | Stochastischer Prozess | Stochastic process | Künstliche Intelligenz | Artificial intelligence | Regressionsanalyse | Regression analysis | Lernprozess | Learning process | Gauß-Prozess |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-024-10833-9 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015591278