Supervised Machine Learning with Control Variates for American Option Pricing
By: Gang Mu, Teodor Godina, Antonio Maffia and Yong Chao Sun
Authors
Gang Mu
School of Mathematical Sciences, Tongji University, 200092,, Shanghai, China
F. Hoffmann-La Roche AG, Grenzacherstrasse 124, 4070, Basel, Switzerland
Teodor Godina
F. Hoffmann-La Roche AG, Grenzacherstrasse 124, 4070, Basel, Switzerland
Antonio Maffia
F. Hoffmann-La Roche AG, Grenzacherstrasse 124, 4070, Basel, Switzerland
Department of Mathematics and Computer Science, University of Basel,, Basel, Switzerland
Yong Chao Sun
School of Mathematical Sciences, Tongji University, 200092,, Shanghai, China
Language: English
Page range: 207 - 217
Submitted on: Feb 2, 2018
Accepted on: Sep 5, 2018
Published on: Oct 27, 2018
Published by: Poznan University of Technology
In partnership with: Paradigm Publishing Services
Publication frequency: 4 issues per year
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© 2018 Gang Mu, Teodor Godina, Antonio Maffia, Yong Chao Sun, published by Poznan University of Technology
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.