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Gaussian Process Regression for a Single Underlying Autocallable Security
Traditionally in Quantitative Finance, in order to price exotic options, particu- larly with path dependency, time consuming Monte Carlo simulations are done. This dissertation considers the use of the machine learning technique Gaussian Process Regression (GPR) as a faster pricing alternative to Mo...
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| Format: | Thesis |
| Language: | Eng |
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Department of Finance and Tax
2024
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