Accelerated American Option Pricing with Deep Neural Networks

2022 ◽  
Author(s):  
David Anderson ◽  
Urban Ulrych
Keyword(s):  
Neural Networks ◽  
Option Pricing ◽  
Deep Neural Networks ◽  
American Option ◽  
American Option Pricing

A new stochastic gradient estimator for American option pricing

2009 ◽  
Author(s):  
Yongqiang Wang ◽  
Michael C. Fu ◽  
Steven I. Marcus
Keyword(s):  
Option Pricing ◽  
American Option ◽  
Stochastic Gradient ◽  
American Option Pricing

American option pricing under two stochastic volatility processes

2013 ◽  
Vol 224 ◽  
pp. 283-310 ◽  
Author(s):  
Carl Chiarella ◽  
Jonathan Ziveyi
Keyword(s):  
Option Pricing ◽  
Stochastic Volatility ◽  
American Option ◽  
American Option Pricing

scholarly journals Operator splitting methods for American option pricing

2004 ◽  
Vol 17 (7) ◽  
pp. 809-814 ◽  
Author(s):  
S. Ikonen ◽  
J. Toivanen
Keyword(s):  
Option Pricing ◽  
Operator Splitting ◽  
American Option ◽  
Splitting Methods ◽  
American Option Pricing ◽  
Operator Splitting Methods

Tests of an American Option Pricing Model on the Foreign Currency Options Market

1987 ◽  
Vol 22 (2) ◽  
pp. 153 ◽  
Author(s):  
James N. Bodurtha ◽  
Georges R. Courtadon
Keyword(s):  
Option Pricing ◽  
Foreign Currency ◽  
American Option ◽  
Options Market ◽  
Pricing Model ◽  
American Option Pricing ◽  
Currency Options ◽  
Option Pricing Model

American option pricing by a method of error correction

2016 ◽  
Vol 61 (2) ◽  
pp. 95-111
Author(s):  
Óscar Gutiérrez
Keyword(s):  
Option Pricing ◽  
Error Correction ◽  
American Option ◽  
American Option Pricing

Additive and multiplicative duals for American option pricing

2007 ◽  
Vol 11 (2) ◽  
pp. 153-179 ◽  
Author(s):  
Nan Chen ◽  
Paul Glasserman
Keyword(s):  
Option Pricing ◽  
American Option ◽  
American Option Pricing

A moving boundary approach to American option pricing

2008 ◽  
Vol 32 (11) ◽  
pp. 3520-3537 ◽  
Author(s):  
Kumar Muthuraman
Keyword(s):  
Option Pricing ◽  
Moving Boundary ◽  
American Option ◽  
American Option Pricing
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