Pricing high-dimensional American options by kernel ridge regression

DOI10.1080/14697688.2020.1713393zbMath1466.91341OpenAlexW3006994101MaRDI QIDQ4991062

Wenbin Hu, Zastawniak, Tomasz

Publication date: 2 June 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://eprints.whiterose.ac.uk/155272/1/Pricing_high_dimensional_American_options_by_kernel_ridge_regression.pdf

zbMATH Keywords

Monte Carlomachine learningkernel ridge regressionregression-based methodhigh-dimensional American option

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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