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Pricing Bermudan Options Using Regression Trees/Random Forests.

Zineb El Filali Ech-ChafiqPierre Henry-LabordèreJérôme Lelong
Published in: SIAM J. Financial Math. (2023)
Keyphrases
  • random forests
  • regression trees
  • random forest
  • decision trees
  • logistic regression
  • machine learning algorithms
  • ensemble methods
  • regression problems
  • randomized trees
  • pairwise
  • feature vectors
  • graph cuts