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Multiscale methods for the valuation of American options with stochastic volatility.
Angela Kunoth
Christian Schneider
Katharina Wiechers
Published in:
Int. J. Comput. Math. (2012)
Keyphrases
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multiscale
empirical studies
data sets
image processing
search algorithm
preprocessing
machine learning methods
qualitative and quantitative
reinforcement learning
long term
state space
wavelet transform
machine learning algorithms
statistical methods
wavelet domain