A predictor-corrector scheme based on the ADI method for pricing American puts with stochastic volatility.
Song-Ping ZhuWen-Ting ChenPublished in: Comput. Math. Appl. (2011)
Keyphrases
- detection method
- high accuracy
- dynamic programming
- experimental evaluation
- significant improvement
- probabilistic model
- prior knowledge
- reinforcement learning
- segmentation algorithm
- computational cost
- preprocessing
- objective function
- feature selection
- computational complexity
- model selection
- support vector machine svm
- synthetic data
- learning scheme
- decomposition method