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A new stochastic gradient estimator for American option pricing.
Yongqiang Wang
Michael C. Fu
Steven I. Marcus
Published in:
ECC (2009)
Keyphrases
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stochastic gradient
option pricing
stock price
decision analysis
least squares
stochastic gradient descent
maximum likelihood
real option
nearest neighbor classifier
black scholes model
step size
importance sampling
short term
maximum a posteriori