Nearest Neighbor Based Estimation Technique for Pricing Bermudan Options.
Ankush AgarwalSandeep JunejaPublished in: IGTR (2015)
Keyphrases
- nearest neighbor
- option pricing
- k nearest neighbor
- nearest neighbor search
- high dimensional
- knn
- estimation algorithm
- black scholes model
- parzen window
- distance function
- data points
- double exponential
- training set
- high dimensional data
- accurate estimation
- index structure
- case study
- parametric models
- estimation process
- dynamic pricing
- maximum likelihood
- revenue management