Kriging metamodels and experimental design for Bermudan option pricing

Mike Ludkovski

Year of publication:	June 2018
Authors:	Ludkovski, Mike
Published in:	The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 22.2018, 1, p. 37-77
Subject:	regression Monte Carlo (RMC) \| Gaussian process regression \| sequential design \| Bermudan option valuation \| stochastic simulation \| Monte-Carlo-Simulation \| Monte Carlo simulation \| Optionspreistheorie \| Option pricing theory \| Simulation \| Stochastischer Prozess \| Stochastic process \| Regressionsanalyse \| Regression analysis

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