A nonparametric method for pricing and hedging American options.
Guiyun FengGuangwu LiuLihua SunPublished in: WSC (2013)
Keyphrases
- experimental evaluation
- high accuracy
- significant improvement
- cost function
- high precision
- synthetic data
- detection method
- preprocessing
- classification accuracy
- segmentation method
- theoretical analysis
- support vector machine svm
- data driven
- fully automatic
- classification method
- clustering method
- optimization algorithm
- data sets
- mutual information
- pairwise
- objective function
- similarity measure