Deep Signature Algorithm for Multidimensional Path-Dependent Options.
Erhan BayraktarQi FengZhaoyu ZhangPublished in: SIAM J. Financial Math. (2024)
Keyphrases
- multi dimensional
- times faster
- estimation algorithm
- learning algorithm
- theoretical analysis
- experimental evaluation
- dynamic programming
- k means
- detection algorithm
- expectation maximization
- high accuracy
- worst case
- np hard
- search space
- computational cost
- probabilistic model
- preprocessing
- computational complexity
- simulated annealing
- linear programming
- significant improvement
- segmentation algorithm
- optimal path
- improved algorithm
- path finding
- shortest path problem
- neural network
- memory requirements
- image segmentation
- path planning
- classification algorithm
- optimization algorithm
- optimal solution
- lower bound