Pricing and Hedging with Discontinuous Functions: Quasi-Monte Carlo Methods and Dimension Reduction.
Xiaoqun WangKen Seng TanPublished in: Manag. Sci. (2013)
Keyphrases
- dimension reduction
- monte carlo methods
- monte carlo
- principal component analysis
- feature extraction
- high dimensional
- option pricing
- singular value decomposition
- convertible bonds
- high dimensional data
- low dimensional
- bayesian networks
- high dimensional problems
- linear discriminant analysis
- financial markets
- dimensionality reduction
- simulated annealing
- feature selection
- high dimensionality
- unsupervised learning
- feature space
- cluster analysis
- learning algorithm
- data sets
- preprocessing
- image segmentation
- pricing model
- machine learning