Gradient-enhanced sparse Hermite polynomial expansions for pricing and hedging high-dimensional American options

By Jiefei Yang, Guanglian Li

Published 2024-05-04

Everscope rating

1883

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Gradient-enhanced Least Squares Monte Carlo (G-LSM). Problem types: Regression, Time Series Forecasting, Optimization.

arXiv:2405.02570 · Code · Paper rankings

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