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  • 标题:Derivatives Pricing via Machine Learning
  • 本地全文:下载
  • 作者:Tingting Ye ; Liangliang Zhang
  • 期刊名称:Journal of Mathematical Finance
  • 印刷版ISSN:2162-2434
  • 电子版ISSN:2162-2442
  • 出版年度:2019
  • 卷号:9
  • 期号:3
  • 页码:561-589
  • DOI:10.4236/jmf.2019.93029
  • 出版社:Scientific Research Publishing
  • 摘要:In this paper, we combine the theory of stochastic process and techniques of machine learning with the regression analysis, first proposed by [1] to solve for American option prices, and apply the new methodologies on financial derivatives pricing. Rigorous convergence proofs are provided for some of the methods we propose. Numerical examples show good applicability of the algorithms. More applications in finance are discussed in the Appendices.
  • 关键词:Machine Learning;Regression Analysis;Jump;Diffusion;Derivatives Pricing;Hilbert Space;Orthogonal Projection
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