On the convergence of projected triangular decomposition methods for pricing American options with stochastic volatility.
Ning ZhengJun-Feng YinPublished in: Appl. Math. Comput. (2013)
Keyphrases
- decomposition methods
- option pricing
- stock price
- financial markets
- stochastic approximation
- decomposition method
- black scholes model
- training support vector machines
- constraint satisfaction problems
- database theory
- double exponential
- hypertree decomposition
- stock market
- convergence rate
- working set
- exchange rate
- neural network
- dynamic pricing
- tree decomposition
- artificial neural networks
- feature extraction
- historical data
- constraint satisfaction
- non stationary
- garch model
- number of iterations required