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Search: subject:"regression-based Monte Carlo method"
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Information relaxation and a duality-driven algorithm for stochastic dynamic programs
Chen, Nan
;
Ma, Xiang
;
Liu, Yanchu
;
Yu, Wei
- In:
Operations research
72
(
2024
)
6
,
pp. 2302-2320
Persistent link: https://www.econbiz.de/10015371401
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A Gaussian process based method with deep kernel learning for pricing high-dimensional American options
Zhuang, Jirong
;
Ding, Deng
;
Lu, Weiguo
;
Wu, Xuan
;
Yuan, …
- In:
Computational economics
66
(
2025
)
5
,
pp. 3687-3708
Persistent link: https://www.econbiz.de/10015591278
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