An artificial intelligence approach to the valuation of American-style derivatives : a use of particle swarm optimization
Year of publication: |
2021
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Authors: | Chen, Ren-Raw ; Huang, Jeffrey ; Huang, William ; Yu, Robert |
Published in: |
Journal of risk and financial management : JRFM. - Basel : MDPI, ISSN 1911-8074, ZDB-ID 2739117-6. - Vol. 14.2021, 2/57, p. 1-22
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Subject: | American option | Monte Carlo | PSO | Derivat | Derivative | Künstliche Intelligenz | Artificial intelligence | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Mathematische Optimierung | Mathematical programming |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/jrfm14020057 [DOI] hdl:10419/239473 [Handle] |
Classification: | G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; g4 |
Source: | ECONIS - Online Catalogue of the ZBW |
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