Fourth Edition of the International Conference on Research in Applied Mathematics and Computer Science ICRAMCS 2022
 March 24-25-26, 2022
Online and Face-to-Face Conference

ICRAMCS, 4 (2022) | Proceedings ISSN: 2605-7700

Research Communication | Open Access
Volume 2022 | Communication ID 516
Pricing American option under Exponential Lèvy jump-diffusion model using Random Forest instead of Least square regression.
Mohamed Maidoumi, Mehdi Zahid, Boubker Daafi
Academic Editor: Youssef EL FOUTAYENI
Received
Accepted
Published
February 11, 2022
March 03, 2419
April 15, 2419

Abstract: In this presentation, we aim to propose a new hybrid version of the Longstaff \& Schwartz algorithm under an exponential Lèvy jump-diffusion model using Random Forest regression and we will compare this model to the classical model of Longstaff and Schwartz in terms of computation time and accuracy. In a second step, we will build the evolution of the option price according to the number of paths and we will show how this approach shows numerically the convergence of the option price toward an equilibrium price when the number of paths tends to a large number. At the end of the paper, we ...