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The waterline tree for separable local-volatility models.

U. Hou LokYuh-Dauh Lyuu
Published in: Comput. Math. Appl. (2017)
Keyphrases
  • probabilistic model
  • tree models
  • prior knowledge
  • long term
  • parameter estimation
  • tree structure
  • experimental data
  • statistical models
  • machine learning
  • information systems
  • index structure
  • complex systems
  • stock market