Mark Jerrum, Alistair Sinclair (UC Berkeley) and Eric Vigoda (Georgia Tech) received the Association for Computing Machinery (ACM) Test of Time Award at a virtual ceremony on Wednesday 23 June at the ...
This paper proposes a new deep-learning-based algorithm for high-dimensional Bermudan option pricing. To the best of our knowledge, this is the first study of the arbitrary-order discretization scheme ...
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