Gaussian Process Regression for Pricing Variable Annuities with Stochastic Volatility and Interest Rate
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- Ludovic Gouden`ege & Andrea Molent & Antonino Zanette, 2019. "Variance Reduction Applied to Machine Learning for Pricing Bermudan/American Options in High Dimension," Papers 1903.11275, arXiv.org, revised Dec 2019.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-BIG-2019-03-11 (Big Data)
- NEP-CMP-2019-03-11 (Computational Economics)
- NEP-IAS-2019-03-11 (Insurance Economics)
- NEP-RMG-2019-03-11 (Risk Management)
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