A general control variate method for multi-dimensional SDEs: An application to multi-asset options under local stochastic volatility with jumps models in finance.
Kenichiro ShirayaAkihiko TakahashiPublished in: Eur. J. Oper. Res. (2017)
Keyphrases
- multi dimensional
- statistical model
- preprocessing
- pairwise
- significant improvement
- probabilistic model
- support vector machine svm
- parametric models
- prediction model
- detection method
- model selection
- high accuracy
- special case
- modeling method
- similarity measure
- monte carlo simulation
- neural network
- financial markets
- clustering method
- edge detection
- computational intelligence
- dynamic programming
- artificial neural networks
- objective function