Convergence of the Two Point Flux Approximation and a novel fitted Two-Point Flux Approximation method for pricing options.
Rock S. KoffiAntoine TambuePublished in: CoRR (2019)
Keyphrases
- closed form
- computational cost
- experimental evaluation
- high accuracy
- significant improvement
- high precision
- detection method
- objective function
- dominant points
- tensor product
- approximation methods
- convergence rate
- basis functions
- bayesian networks
- matching algorithm
- clustering method
- theoretical analysis
- optimization method
- em algorithm
- approximation algorithms
- reference point
- relative error
- dynamic programming
- pairwise
- error tolerance