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Comparing optimal convergence rate of stochastic mesh and least squares method for bermudan option pricing.

Ankush AgarwalSandeep Juneja
Published in: WSC (2013)
Keyphrases
  • convergence rate
  • least squares
  • learning rate
  • objective function
  • cost function
  • dynamic programming
  • convergence speed
  • step size
  • gradient method
  • expert systems
  • information extraction