Pricing high-dimensional Bermudan options using the stochastic grid method.
Shashi JainCornelis W. OosterleePublished in: Int. J. Comput. Math. (2012)
Keyphrases
- synthetic data
- significant improvement
- noisy data
- high precision
- pairwise
- support vector machine
- parameter space
- detection method
- computational cost
- cost function
- high dimensional
- preprocessing
- computational complexity
- data points
- neural network
- high accuracy
- edge detection
- expectation maximization
- detection algorithm
- clustering method
- dimension reduction
- similarity measure
- genetic algorithm