A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston's Model.
Fang FangCornelis W. OosterleePublished in: SIAM J. Financial Math. (2011)
Keyphrases
- mathematical model
- cost function
- objective function
- probabilistic model
- test data
- markov model
- evaluation method
- sensitivity analysis
- statistical model
- theoretical analysis
- prediction model
- hybrid method
- statistical methods
- optimization method
- study proposes
- modeling method
- similarity measure
- preprocessing
- monte carlo simulation
- detection method
- parameter estimation
- edge detection
- prior information
- classification method
- significant improvement
- parameter space
- segmentation method
- linear regression
- input data
- closed form
- network model
- hybrid model
- autoregressive
- prior knowledge
- artificial neural networks
- tree structure
- neural network