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A Gaussian Process Based Method with Deep Kernel Learning for Pricing High-Dimensional American Options
Journal article
Zhuang, Jirong, Ding, Deng, Lu, Weiguo, Wu, Xuan, Yuan, Gangnan. A Gaussian Process Based Method with Deep Kernel Learning for Pricing High-Dimensional American Options[J]. Computational Economics, 2025.
Authors:
Zhuang, Jirong
;
Ding, Deng
;
Lu, Weiguo
;
Wu, Xuan
;
Yuan, Gangnan
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IF:
1.9
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1.8
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Submit date：2025/01/22
Deep Kernel Learning
Gaussian Process
High-dimensional American Option
Machine Learning
Regression Based Monte Carlo Method
