A Practical Guide to G-LSM: Improving High-Dimensional Option Pricing with Minimal Overhead
Description
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.
United States
