Moving average options: machine learning and Gauss-Hermite quadrature for a double non-Markovian problem

DOI10.1016/j.ejor.2022.03.002OpenAlexW4221042666WikidataQ114184320 ScholiaQ114184320MaRDI QIDQ2158055

Antonino Zanette, Ludovic Goudenège, Andrea Molent

Publication date: 22 July 2022

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2108.11141

zbMATH Keywords

Gauss-Hermite quadratureGaussian process regressionbinomial tree(B) financemoving average options

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Cites Work

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