KrigHedge: Gaussian Process Surrogates for Delta Hedging
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- Bruce Ankenman & Barry L. Nelson & Jeremy Staum, 2010. "Stochastic Kriging for Simulation Metamodeling," Operations Research, INFORMS, vol. 58(2), pages 371-382, April.
- Capriotti, Luca & Jiang, Yupeng & Macrina, Andrea, 2017. "AAD and least-square Monte Carlo: Fast Bermudan-style options and XVA Greeks," Algorithmic Finance, IOS Press, vol. 6(1-2), pages 35-49.
- Xi Chen & Bruce E. Ankenman & Barry L. Nelson, 2013. "Enhancing Stochastic Kriging Metamodels with Gradient Estimators," Operations Research, INFORMS, vol. 61(2), pages 512-528, April.
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This paper has been announced in the following NEP Reports:- NEP-BIG-2020-11-02 (Big Data)
- NEP-RMG-2020-11-02 (Risk Management)
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