A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions.
Fang FangCornelis W. OosterleePublished in: SIAM J. Sci. Comput. (2008)
Keyphrases
- high precision
- preprocessing
- dynamic programming
- high accuracy
- objective function
- significant improvement
- cost function
- similarity measure
- classification method
- detection method
- clustering method
- correlation coefficient
- data sets
- vector space
- synthetic data
- computational cost
- computational complexity
- multiscale
- feature extraction
- image sequences
- learning algorithm