This paper proposes a new deep-learning-based algorithm for high-dimensional Bermudan option pricing. To the best of our knowledge, this is the first study of the arbitrary-order discretization scheme ...

Journal of the Royal Statistical Society. Series B (Statistical Methodology), Vol. 64, No. 1 (2002), pp. 31-49 (19 pages) The single bootstrap is implemented by using a saddlepoint approximation to ...