Pricing Bermudan Options Using Regression Trees/Random Forests.

Fri, 01 Dec 2023 00:00:00 +0100

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)