RBF approximation by partition of unity for valuation of options under exponential Lévy processes.
Ali FereshtianReza MollapouraslFlorin AvramPublished in: J. Comput. Sci. (2019)
Keyphrases
- radial basis function
- artificial neural networks
- error bounds
- approximation algorithms
- heavy tails
- radial basis function network
- neural network
- approximation methods
- rbf neural network
- support vector machine
- closed form
- efficient computation
- mlp neural networks
- double exponential
- partitioning algorithm
- approximation error
- radial basis function neural network
- stochastic processes
- basis functions
- support vector machine svm
- decision makers
- decision making