Have a personal or library account? Click to login
Supervised Machine Learning with Control Variates for American Option Pricing Cover

Supervised Machine Learning with Control Variates for American Option Pricing

Foundations of Computing and Decision Sciences
Volume 43 (2018): Issue 3 (September 2018)
By: Gang Mu,  Teodor Godina,  Antonio Maffia and  Yong Chao Sun  
Open Access
|Oct 2018

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
DOI: https://doi.org/10.1515/fcds-2018-0011 | Journal eISSN: 2300-3405 | Journal ISSN: 0867-6356
Journal RSS Feed
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
Keywords:
American options,
Monte Carlo,
Gaussian processes,
Kriging,
LSM,
supervised learning,
Heston Model,
control variates
Related subjects:
Computer sciences,
Artificial intelligence,
Software development

© 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.

Previous articleVolume 43 (2018): Issue 3 (September 2018)Next article