links.txt

BENCHMARKING NEURAL NETWORKS FOR AMERICAN OPTION PRICING - Anna Bauer
https://escholarship.org/content/qt73m9c2m4/qt73m9c2m4.pdf?t=s447yg&v=lg
https://github.com/abauer726/nn_options

An Iteration Algorithm for American Options Pricing Based on Reinforcement Learning - Nan Li

American option pricing with machine learning: An extension of the Longstaff-Schwartz method - Lin, Almeida
(Basically replaces least square with svr and other regression models)

Option pricing using deep learning approach based on LSTM-GRU neural networks: Case of London stock exchange - Zouaoui, Naas
https://www.aimspress.com/aimspress-data/dsfe/2023/3/PDF/DSFE-03-03-016.pdf

https://web.stanford.edu/class/cme241/lecture_slides/AmericanOptionsRL.pdf

Self-attention GRU and Shapley value interpretation - Shen
https://arxiv.org/pdf/2310.12500.pdf

Optimal Stopping via Randomized Neural Networks
https://arxiv.org/abs/2104.13669
https://github.com/HeKrRuTe/OptStopRandNN/tree/main

NN for option pricing: literature review - Ruf, Wang
https://arxiv.org/pdf/1911.05620.pdf

(Haven't read this)
Towards a unified impl of regression MC algorithms - Ludkovski
https://arxiv.org/pdf/2012.00729.pdf

https://github.com/opendoor-labs/pyfin/tree/master
https://github.com/dedwards25/Python_Option_Pricing/blob/master/GBS.ipynb
https://github.com/vollib/vollib
https://github.com/LawZhou/Israel-option-pricing/blob/main/american_pricing.py#L70
https://github.com/YoussefAithaddou/Pricing-American-Options-with-Q-learning/blob/main/Pricing%20Options%20with%20Q-learning.ipynb

https://www.kaggle.com/datasets/muhammadanas0716/tradyflow-options-trading