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Gaussian process regression approach to pricing multi-asset American options
This dissertation explores the problem of pricing American options in high dimensions using machine learning. In particular, the Gaussian Process Regression Monte Carlo (GPR-MC) algorithm developed by Goudenege et al (2019). is explored, and ` its performance, i.e., its accuracy and efficiency, is b...
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| Format: | Thesis |
| Language: | English |
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Department of Finance and Tax
2022
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