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Applications of Gaussian Process Regression to the Pricing and Hedging of Exotic Derivatives
Traditional option pricing methods like Monte Carlo simulation can be time consuming when pricing and hedging exotic options under stochastic volatility models like the Heston model. The purpose of this research is to apply the Gaussian Process Regression (GPR) method to the pricing and hedging of e...
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| Format: | Thesis |
| Language: | English |
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African Institute of Financial Markets and Risk Management
2022
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