Neural network regression for Bermudan option pricing.

Bernard Lapeyre Jérôme Lelong

Published in: Monte Carlo Methods Appl. (2021)

Keyphrases

option pricing
neural network
stock price
decision analysis
black scholes
real option
black scholes model
artificial neural networks
capital budgeting
fuzzy logic
genetic algorithm
non stationary
fault diagnosis
probabilistic model
text categorization
influence diagrams