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Deep Signature Algorithm for Path-Dependent American option pricing.

Erhan BayraktarQi FengZhaoyu Zhang
Published in: CoRR (2022)
Keyphrases
  • objective function
  • optimal solution
  • computational complexity
  • np hard
  • dynamic programming
  • neural network
  • knowledge base
  • long term
  • probabilistic model
  • graphical models