Moving average options : machine learning and Gauss-Hermite quadrature for a double non-Markovian problem
Ludovic Goudenège, Andrea Molent, Antonino Zanette
| Year of publication: |
2022
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|---|---|
| Authors: | Goudenège, Ludovic ; Molent, Andrea ; Zanette, Antonino |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 303.2022, 2 (1.12.), p. 958-974
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| Subject: | (B) finance | Binomial tree | Gauss-Hermite quadrature | Gaussian process regression | Moving average options | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Künstliche Intelligenz | Artificial intelligence | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2022.03.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013364051