"Moving average options: Machine learning and Gauss-Hermite quadrature for ..."

Ludovic Goudenège, Andrea Molent, Antonino Zanette (2022)

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DOI: 10.1016/J.EJOR.2022.03.002

access: closed

type: Journal Article

metadata version: 2023-08-28

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  - https://dblp.org/rec/journals/eor/GoudenegeMZ22
Ludovic Goudenège, Andrea Molent, Antonino Zanette:
Moving average options: Machine learning and Gauss-Hermite quadrature for a double non-Markovian problem. Eur. J. Oper. Res. 303(2): 958-974 (2022)

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