American Options in an Illiquid Market: Nonlinear Complementary Method.
Walter MudzimbabweLubin G. VulkovPublished in: NAA (2016)
Keyphrases
- detection method
- experimental evaluation
- computationally efficient
- high order
- cost function
- computational cost
- synthetic data
- clustering method
- optimization algorithm
- theoretical analysis
- high accuracy
- high precision
- sensitivity analysis
- convergence rate
- segmentation method
- diffusion model
- feature selection
- support vector machine
- significant improvement
- prior knowledge
- pairwise
- preprocessing
- similarity measure