Tridiagonal implicit method to evaluate European and American options under infinite activity Lévy models.
Jaewook LeeYounhee LeePublished in: J. Comput. Appl. Math. (2013)
Keyphrases
- significant improvement
- experimental evaluation
- detection method
- modeling method
- probabilistic model
- high precision
- classification method
- dynamic programming
- computational cost
- parameter estimation
- linear model
- monte carlo simulation
- clustering method
- prior knowledge
- pairwise
- detection algorithm
- similarity measure
- support vector machine svm
- regression model
- segmentation method
- edge detection
- support vector machine
- linear regression
- fractal dimension
- preprocessing