KrigHedge: Gaussian Process Surrogates for Delta Hedging

16 October 2020

Papers citing "KrigHedge: Gaussian Process Surrogates for Delta Hedging"

2 / 2 papers shown

Title
Beyond Surrogate Modeling: Learning the Local Volatility Via Shape Constraints Marc Chataigner Areski Cousin Stéphane Crépey M. Dixon Djibril Gueye 27 8 0 20 Dec 2022
Local Gaussian process approximation for large computer experiments R. Gramacy D. Apley 127 391 0 02 Mar 2013