A note on the numerical approximation of Greeks for American-style options.
Karel J. in 't HoutPublished in: CoRR (2024)
Keyphrases
- united states
- approximation error
- error bounds
- numerical calculation
- numerical methods
- neural network
- decision making
- approximation schemes
- option pricing
- sensitivity analysis
- genetic algorithm
- graphical models
- machine learning
- approximation algorithms
- artificial neural networks
- efficient computation
- numerical data
- queueing networks
- numerical analysis
- databases
- multiscale
- artificial intelligence
- error tolerance
- data sets