The Stochastic Grid Bundling Method: Efficient pricing of Bermudan options and their Greeks.
Shashi JainCornelis W. OosterleePublished in: Appl. Math. Comput. (2015)
Keyphrases
- significant improvement
- classification method
- fully automatic
- high efficiency
- high precision
- detection method
- mutual information
- computationally efficient
- synthetic data
- experimental evaluation
- dynamic programming
- prior knowledge
- pairwise
- data sets
- optimization algorithm
- clustering method
- preprocessing
- objective function
- highly efficient
- neural network