A transformed jump-adapted backward Euler method for jump-extended CIR and CEV models.
Xu YangXiaojie WangPublished in: Numer. Algorithms (2017)
Keyphrases
- probabilistic model
- statistical model
- prior knowledge
- machine learning methods
- high accuracy
- data sets
- significant improvement
- statistical methods
- classification method
- synthetic data
- mathematical model
- objective function
- monte carlo simulation
- high precision
- detection method
- detection algorithm
- input data
- experimental evaluation
- cost function
- prediction model
- computational complexity
- hybrid model