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An auto-realignment method in quasi-Monte Carlo for pricing financial derivatives with jump structures.

Chengfeng WengXiaoqun WangZhijian He
Published in: Eur. J. Oper. Res. (2016)
Keyphrases
  • support vector machine
  • prior knowledge
  • dynamic programming
  • probabilistic model
  • graphical models
  • error rate
  • prior information