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...
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| Principais autores: | , , |
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| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
MDPI AG
2020-07-01
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| coleção: | Risks |
| Assuntos: | |
| Acesso em linha: | https://www.mdpi.com/2227-9091/8/3/73 |
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