A Spectral Element Method to Price European Options. I. Single Asset with and without Jump Diffusion.
Wuming ZhuDavid A. KoprivaPublished in: J. Sci. Comput. (2009)
Keyphrases
- clustering method
- optimization method
- detection method
- cost function
- high precision
- feature selection
- high accuracy
- support vector machine
- fully automatic
- classification method
- detection algorithm
- input data
- classification accuracy
- experimental evaluation
- significant improvement
- preprocessing
- computational complexity
- objective function
- similarity measure