An irregular grid method for high-dimensional free-boundary problems in finance.
Steffan BerridgeJ. M. SchumacherPublished in: Future Gener. Comput. Syst. (2004)
Keyphrases
- high accuracy
- high dimensional
- clustering method
- alternative methods
- search methods
- segmentation method
- detection method
- dynamic programming
- support vector machine svm
- preprocessing
- nearest neighbor
- probabilistic model
- computational cost
- significant improvement
- similarity measure
- low dimensional
- experimental evaluation
- cost function
- classification method
- high dimensionality
- pairwise
- heuristic methods
- boundary information