Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models

@article{Goudenge2019MachineLF,
  title={Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models},
  author={Ludovic Gouden{\`e}ge and Andrea Molent and Antonino Zanette},
  journal={Quantitative Finance},
  year={2019},
  volume={20},
  pages={573 - 591}
}
In this paper we propose two efficient techniques which allow one to compute the price of American basket options. In particular, we consider a basket of assets that follow a multi-dimensional Black–Scholes dynamics. The proposed techniques, called GPR Tree (GRP-Tree) and GPR Exact Integration (GPR-EI), are both based on Machine Learning, exploited together with binomial trees or with a closed form formula for integration. Moreover, these two methods solve the backward dynamic programing… Expand
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