Search Results for author: Jirong Zhuang

Found 2 papers, 0 papers with code

A Gaussian Process Based Method with Deep Kernel Learning for Pricing High-dimensional American Options

no code implementations13 Nov 2023 Jirong Zhuang, Deng Ding, Weiguo Lu, Xuan Wu, Gangnan Yuan

In this work, we present a novel machine learning approach for pricing high-dimensional American options based on the modified Gaussian process regression (GPR).

GPR regression +1

Cannot find the paper you are looking for? You can Submit a new open access paper.