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Application of kernel-based stochastic gradient algorithms to option pricing.

Kengy BartyPierre GirardeauCyrille StrugarekJean-Sébastien Roy
Published in: Monte Carlo Methods Appl. (2008)
Keyphrases
  • stochastic gradient
  • learning algorithm
  • option pricing
  • worst case
  • machine learning algorithms
  • convergence rate
  • convergence speed