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Pricing Bermudan Options Using Regression Trees/Random Forests - MaRDI portal

Pricing Bermudan Options Using Regression Trees/Random Forests (Q6070674)

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scientific article; zbMATH DE number 7770147
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English
Pricing Bermudan Options Using Regression Trees/Random Forests
scientific article; zbMATH DE number 7770147

    Statements

    title
    Pricing Bermudan Options Using Regression Trees/Random Forests (English)
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    publication date
    23 November 2023
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    zbMATH Keywords
    regression trees
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    random forests
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    Bermudan options
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    optimal stopping
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    cites work
    Deep optimal stopping
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    Random forests
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    Q4433608
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    Q3997990
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    Q5396710
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    Identifiers

    arXiv ID
    2201.02587
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    DOI
    10.1137/21m1460648
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    Mathematics Subject Classification ID
    91G20
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    60G40
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    62L20
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    91G60
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    68W25
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    zbMATH DE Number
    7770147
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