An improved method for pricing and hedging long dated American options.
Frank J. FabozziTommaso PalettaSilvia StanescuRadu TunaruPublished in: Eur. J. Oper. Res. (2016)
Keyphrases
- objective function
- experimental evaluation
- detection method
- preprocessing
- cost function
- high accuracy
- clustering method
- prior knowledge
- computational cost
- probabilistic model
- optimization algorithm
- option pricing
- machine learning
- classification method
- segmentation method
- mutual information
- classification accuracy
- computational complexity
- similarity measure