Gradient-enhanced sparse Hermite polynomial expansions for pricing and hedging high-dimensional American options.
Jiefei YangGuanglian LiPublished in: CoRR (2024)
Keyphrases
- high dimensional
- option pricing
- black scholes model
- sparse data
- black scholes
- convertible bonds
- low dimensional
- decision analysis
- high dimensionality
- dimensionality reduction
- stock price
- financial markets
- similarity search
- sparse coding
- real option
- multi dimensional
- variable selection
- united states
- additive models
- high dimension
- parameter space
- feature space
- high dimensional data
- double exponential
- nearest neighbor
- pricing model
- input space
- payoff functions
- data points
- generalized linear models
- noisy data
- kernel function
- projection method
- multiscale
- regression model
- optimal pricing
- fourier series
- sparse representation
- dimension reduction
- linear combination
- non stationary
- metric space
- data sets