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Browsing by Author "Muchabaiwa, Tinotenda Munashe"

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Applications of Gaussian Process Regression to the Pricing and Hedging of Exotic Derivatives

Author: Muchabaiwa, Tinotenda Munashe Date: 2021 Traditional option pricing methods like Monte Carlo simulation can be time consuming when pricing and hedging exotic options under stochastic volatility models like the Heston model. The purpose of this research is to apply the Gaussian Process ... Read more

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