# Neural network regression for Bermudan option pricing

@article{Lapeyre2019NeuralNR, title={Neural network regression for Bermudan option pricing}, author={B. Lapeyre and J. Lelong}, journal={arXiv: Probability}, year={2019} }

The pricing of Bermudan options amounts to solving a dynamic programming principle, in which the main difficulty, especially in high dimension, comes from the conditional expectation involved in the computation of the continuation value. These conditional expectations are classically computed by regression techniques on a finite dimensional vector space. In this work, we study neural networks approximations of conditional expectations. We prove the convergence of the well-known Longstaff and… CONTINUE READING

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