Online Adaptive Machine Learning Based Algorithm for Implied Volatility Surface Modeling.
Yaxiong ZengDiego KlabjanPublished in: CoRR (2017)
Keyphrases
- machine learning
- learning algorithm
- detection algorithm
- dynamic programming
- matching algorithm
- objective function
- optimal solution
- preprocessing
- search space
- k means
- convergence rate
- three dimensional
- optimization algorithm
- simulated annealing
- recognition algorithm
- machine learning algorithms
- support vector machine
- probabilistic model
- computational cost
- similarity measure
- cost function
- significant improvement