A Fast Method for Pricing Early-Exercise Options with the FFT.
R. LordFang FangF. BervoetsC. W. OosterleePublished in: International Conference on Computational Science (2) (2007)
Keyphrases
- detection method
- similarity measure
- preprocessing
- experimental evaluation
- high accuracy
- significant improvement
- cost function
- pairwise
- neural network
- computational cost
- edge detection
- signal processing
- synthetic data
- optimization method
- probabilistic model
- theoretical analysis
- support vector machine svm
- objective function
- classification method
- fourier transform