Spectral binomial tree: New algorithms for pricing barrier options.
Yoshifumi MuroiTakashi YamadaPublished in: J. Comput. Appl. Math. (2013)
Keyphrases
- computationally efficient
- learning algorithm
- genetic algorithm
- times faster
- tree structure
- orders of magnitude
- significant improvement
- computational cost
- theoretical analysis
- worst case
- option pricing
- spectral analysis
- combinatorial optimization
- machine learning algorithms
- multi dimensional
- data sets
- high resolution
- evolutionary algorithm
- computational complexity
- data structure
- bayesian networks
- neural network