# [1]胡小平,何建敏.LSSVM-Monte Carlo 定价高维美式期权[J].东南大学学报(自然科学版),2006,36(1):179-182.[doi:10.3969/j.issn.1001-0505.2006.01.036] 　Hu Xiaoping,He Jianmin.Pricing high-dimension American option by LSSVM-Monte Carlo[J].Journal of Southeast University (Natural Science Edition),2006,36(1):179-182.[doi:10.3969/j.issn.1001-0505.2006.01.036] 点击复制 LSSVM-Monte Carlo 定价高维美式期权() 分享到： var jiathis_config = { data_track_clickback: true };

36

2006年第1期

179-182

2006-01-20

## 文章信息/Info

Title:
Pricing high-dimension American option by LSSVM-Monte Carlo

Author(s):
College of Economics and Management, Southeast University, Nanjing 210096,China

Keywords:

F830.59
DOI:
10.3969/j.issn.1001-0505.2006.01.036

Abstract:
Least-squares SVM(LSSVM)was applied to pricing high-dimension American option to solve the so-called “dimension curse” problem along with the rise of dimension. Firstly, Monte Carlo(M-C)method was used to simulate many price paths of underlying assets, and LSSVM worked as regress operator for solving the conditional expectation. Moreover, training algorithm of LSSVM was proposed based on improved sequential minimal optimization(ISMO)method. Aiming at four various payment functions, an example was given when the numbers of underlying assets were respectively 5 and 30. Results show that the method proposed can solve high-dimension American option pricing problem well.

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