Pricing Bermudan options using regression trees/random forests
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DOI: 10.1137/21M1460648
Note: View the original document on HAL open archive server: https://hal.science/hal-03436046v2
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References listed on IDEAS
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Cited by:
- Lukas Gonon, 2024. "Deep neural network expressivity for optimal stopping problems," Finance and Stochastics, Springer, vol. 28(3), pages 865-910, July.
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Keywords
Regression trees; Random forests; Bermudan options; Optimal stopping;All these keywords.
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