A new deep neural network algorithm for multiple stopping with applications in options pricing.
Yuecai HanNan LiPublished in: Commun. Nonlinear Sci. Numer. Simul. (2023)
Keyphrases
- neural network
- probabilistic model
- experimental evaluation
- objective function
- preprocessing
- cost function
- theoretical analysis
- optimization algorithm
- detection algorithm
- k means
- clustering method
- high accuracy
- input data
- search space
- recognition algorithm
- dynamic programming
- similarity measure
- learning algorithm
- segmentation algorithm
- worst case
- computationally efficient
- training algorithm
- support vector machine svm
- knn
- data sets
- np hard
- significant improvement
- computational complexity
- optimal solution