American option pricing with machine learning : an extension of the Longstaff-Schwartz method
Jingying Lin, Caio Almeida
| Year of publication: |
2021
|
|---|---|
| Authors: | Lin, Jingying ; Almeida, Caio |
| Subject: | Option pricing | Machine learning | Monte Carlo simulation | Support vector regression | Classification and regression trees | Künstliche Intelligenz | Artificial intelligence | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Regressionsanalyse | Regression analysis | Prognoseverfahren | Forecasting model |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.12660/rbfin.v19n3.2021.83815 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012804834