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PRICING OF HIGH-DIMENSIONAL AMERICAN OPTIONS BY NEURAL NETWORKS

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References

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1999Mathematics of Financial Markets338 cited
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2005A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS192 cited
2001Applications of Malliavin calculus to Monte-Carlo methods in finance. II174 cited

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2001Pricing American options: a comparison of Monte Carlo simulation approaches163 cited

2004Number of paths versus number of basis functions in American option pricing151 cited

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2020Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models61 cited
2013Quantitative error estimates for a least-squares Monte Carlo algorithm for American option pricing42 cited
2010A Review on Regression-based Monte Carlo Methods for Pricing American Options35 cited
2015Sequential Design for Optimal Stopping Problems31 cited