Efficient Computation of Option Prices and Greeks by Quasi-Monte Carlo Method with Smoothing and Dimension Reduction.
Chengfeng WengXiaoqun WangZhijian HePublished in: SIAM J. Sci. Comput. (2017)
Keyphrases
- efficient computation
- dimension reduction
- monte carlo method
- markov chain
- monte carlo
- principal component analysis
- genetic algorithm
- feature extraction
- computational efficiency
- singular value decomposition
- posterior distribution
- high dimensional data
- high dimensional
- low dimensional
- feature selection
- linear discriminant analysis
- unsupervised learning
- dimensionality reduction
- feature space
- preprocessing
- cluster analysis
- high dimensionality
- particle filter
- data sets
- similarity search
- least squares
- state space
- neural network