A general control variate method for Lévy models in finance.
Kenichiro ShirayaHiroki UenishiAkira YamazakiPublished in: Eur. J. Oper. Res. (2020)
Keyphrases
- similarity measure
- experimental evaluation
- pairwise
- detection method
- probabilistic model
- high precision
- objective function
- preprocessing
- dynamic programming
- machine learning methods
- high accuracy
- linear model
- monte carlo simulation
- statistical methods
- classification method
- clustering method
- prior knowledge
- support vector machine svm
- feature set
- data sets
- least squares
- cost function
- bayesian framework
- significant improvement
- control policy