Learning Bermudans
Riccardo Aiolfi, Nicola Moreni, Marco Bianchetti, Marco Scaringi
| Year of publication: |
2024
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|---|---|
| Authors: | Aiolfi, Riccardo ; Moreni, Nicola ; Bianchetti, Marco ; Scaringi, Marco |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 64.2024, 5, p. 2813-2852
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| Subject: | Bermudan swaptions | Correlation | Derivatives pricing | Interest rates | Machine learning | Supervised learning | Optionspreistheorie | Option pricing theory | Lernprozess | Learning process | Künstliche Intelligenz | Artificial intelligence | Lernen | Learning | Derivat | Derivative | Korrelation | Swap | Zinsderivat | Interest rate derivative | Zins | Interest rate |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-023-10517-w [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015144081