))
A Practical Guide to G-LSM: Improving High-Dimensional Option Pricing with Minimal Overhead
Manage episode 508418737 series 3474385
المحتوى المقدم من HackerNoon. يتم تحميل جميع محتويات البودكاست بما في ذلك الحلقات والرسومات وأوصاف البودكاست وتقديمها مباشرة بواسطة HackerNoon أو شريك منصة البودكاست الخاص بهم. إذا كنت تعتقد أن شخصًا ما يستخدم عملك المحمي بحقوق الطبع والنشر دون إذنك، فيمكنك اتباع العملية الموضحة هنا https://ar.player.fm/legal.
This story was originally published on HackerNoon at: https://hackernoon.com/a-practical-guide-to-g-lsm-improving-high-dimensional-option-pricing-with-minimal-overhead.
Solving high-dimensional option pricing: G-LSM leverages Hermite polynomials and gradients to achieve a 10x accuracy boost over LSM.
Check more stories related to tech-stories at: https://hackernoon.com/c/tech-stories. You can also check exclusive content about #computational-finance, #quantitative-finance, #option-pricing, #american-options, #monte-carlo-methods, #financial-engineering, #stochastic-calculus, #high-dimensional-pricing, and more.
This story was written by: @hedging. Learn more about this writer by checking @hedging's about page, and for more stories, please visit hackernoon.com.
Solving high-dimensional option pricing: G-LSM leverages Hermite polynomials and gradients to achieve a 10x accuracy boost over LSM.
324 حلقات
مشاركة
