A direct solution method for pricing options involving the maximum process.
Masahiko EgamiTadao OryuPublished in: Finance Stochastics (2017)
Keyphrases
- optimization method
- clustering method
- significant improvement
- minimum energy
- mathematical model
- computational complexity
- detection method
- experimental evaluation
- computational cost
- high precision
- prior knowledge
- pairwise
- preprocessing
- objective function
- input data
- recognition process
- optimization procedure
- search strategy
- closed form
- option pricing
- segmentation method
- optimization algorithm
- genetic algorithm
- high accuracy
- support vector machine
- multiscale
- similarity measure