A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options

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Authors: Kristoffer Andersson, Cornelis W. Oosterlee

Journal title: Applied Mathematics and Computation

Journal number: 408

Journal publisher: Elsevier BV

Published year: 2020

Published pages: 126332

DOI identifier: 10.1016/j.amc.2021.126332

ISSN: 0096-3003