Neural Network Pricing of American Put Options

In this study, we use Neural Networks (NNs) to price American put options. We propose two NN models—a simple one and a more complex one—and we discuss the performance of two NN models with the Least-Squares Monte Carlo (LSM) method. This study relies on American put option market prices, for four la...

وصف كامل

التفاصيل البيبلوغرافية
الحاوية / القاعدة:	Risks
المؤلفون الرئيسيون:	Raquel M. Gaspar, Sara D. Lopes, Bernardo Sequeira
التنسيق:	مقال
اللغة:	الإنجليزية
منشور في:	MDPI AG 2020-07-01
الموضوعات:	machine learning neural networks American put options least-squares Monte Carlo
الوصول للمادة أونلاين:	https://www.mdpi.com/2227-9091/8/3/73

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