A comparative study on time-efficient methods to price compound options in the Heston model.
Carl ChiarellaSusanne GriebschBoda KangPublished in: Comput. Math. Appl. (2014)
Keyphrases
- computational model
- computationally expensive
- benchmark datasets
- computationally intensive
- statistical model
- classification models
- statistical models
- artificial neural networks
- computational cost
- qualitative and quantitative
- mathematical model
- linear models
- similarity measure
- hybrid method
- formal model
- neural network model
- data mining techniques
- least squares
- probability distribution
- probabilistic model
- significant improvement
- prior knowledge
- image retrieval
- preprocessing
- objective function