An Efficient Method for Pricing American Options for Jump Diffusions
Erhan BayraktarHao XingPublished in: CoRR (2007)
Keyphrases
- synthetic data
- cost function
- computationally efficient
- pairwise
- high precision
- prior knowledge
- high accuracy
- detection method
- multiscale
- objective function
- united states
- experimental evaluation
- classification method
- clustering method
- classification accuracy
- highly efficient
- option pricing
- segmentation algorithm
- input data
- decision trees
- probabilistic model
- significant improvement
- optical flow
- evolutionary algorithm
- preprocessing
- similarity measure