Pricing Bermudan Options Using Regression Trees/Random Forests

Neural network regression for Bermudan option pricing

(2021) Bernard Lapeyre et al.   Monte Carlo Methods and Applications

Interpretable Optimal Stopping

(2020) Dragos Florin Ciocan et al.   MANAGEMENT SCIENCE

Dual Pricing of American Options by Wiener Chaos Expansion

(2018) Jérôme Lelong   SIAM Journal on Financial Mathematics

Solving high-dimensional partial differential equations using deep learning

(2018) Jiequn Han et al.   PROCEEDINGS OF THE NATIONAL ACADEMY OF SCIENCES OF THE UNITED STATES OF AMERICA

A continuous mapping theorem for the smallest argmax functional

(2011) Emilio Seijo et al.   Electronic Journal of Statistics

PRICING OF HIGH-DIMENSIONAL AMERICAN OPTIONS BY NEURAL NETWORKS

(2010) Michael Kohler et al.   MATHEMATICAL FINANCE

A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes

(2008) R. Lord et al.   SIAM JOURNAL ON SCIENTIFIC COMPUTING