Evaluating American put options on zero-coupon bonds by a penalty method.
Hong Jun ZhouKa Fai Cedric YiuLeong Kwan LiPublished in: J. Comput. Appl. Math. (2011)
Keyphrases
- detection method
- computationally efficient
- objective function
- computational cost
- similarity measure
- high accuracy
- cost function
- high precision
- fully automatic
- prior knowledge
- experimental evaluation
- preprocessing
- main contribution
- error rate
- significant improvement
- dynamic programming
- pairwise
- probabilistic model
- bayesian networks
- segmentation algorithm
- machine learning
- synthetic data
- matching algorithm