"Pricing Bermudan Options Using Regression Trees/Random Forests."

Zineb El Filali Ech-Chafiq, Pierre Henry-Labordère, Jérôme Lelong (2023)

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DOI: 10.1137/21M1460648

access: closed

type: Journal Article

metadata version: 2023-11-09

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Zineb El Filali Ech-Chafiq, Pierre Henry-Labordère, Jérôme Lelong:
Pricing Bermudan Options Using Regression Trees/Random Forests. SIAM J. Financial Math. 14(4): 1113-1139 (2023)

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