Revisit of stochastic mesh method for pricing American options.
Guangwu LiuL. Jeff HongPublished in: Oper. Res. Lett. (2009)
Keyphrases
- preprocessing
- high precision
- synthetic data
- experimental evaluation
- segmentation method
- computational complexity
- d mesh
- optimization algorithm
- computationally efficient
- high accuracy
- support vector machine
- computational cost
- significant improvement
- objective function
- clustering method
- genetic algorithm
- volumetric data
- support vector machine svm
- model selection
- markov chain
- classification accuracy
- dynamic programming
- cost function
- feature selection