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Fast Lower and Upper Estimates for the Price of Constrained Multiple Exercise American Options by Single Pass Lookahead Search and Nearest-Neighbor Martingale.
Nicolas Essis-Breton
Patrice Gaillardetz
Published in:
CoRR (2020)
Keyphrases
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training set
nearest neighbor
single pass
k nearest neighbor
training data
feature space
change detection
nearest neighbor search
genetic algorithm
highly parallel
stream mining
regression forests