Supervised Machine Learning with Control Variates for American Option Pricing
نویسندگان
چکیده
منابع مشابه
Adaptive Control Variates for Pricing Multi-Dimensional American Options
We explore a class of control variates for the American option pricing problem. We construct the control variates by using multivariate adaptive linear regression splines to approximate the option’s value function at each time step; the resulting approximate value functions are then combined to construct a martingale that approximates a “perfect” control variate. We demonstrate that significant...
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Recall that the American option has strike K and maturity T and gives the holder the right to exercise at any time in [0, T ]. The American option is not straightforward to price in the Monte Carlo framework that we have discussed. The reason is that the derivative cash flow function f(S, t) is not well defined. The problem is that we cannot compute the derivative cash flow until we know how th...
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Reproduction partielle permise avec citation du document source, incluant la notice ©. Short sections may be quoted without explicit permission, if full credit, including © notice, is given to the source. Les cahiers de la série scientifique (CS) visent à rendre accessibles des résultats de recherche effectuée au CIRANO afin de susciter échanges et commentaires. Ces cahiers sont écrits dans le ...
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ژورنال
عنوان ژورنال: Foundations of Computing and Decision Sciences
سال: 2018
ISSN: 2300-3405
DOI: 10.1515/fcds-2018-0011