Convergence of Price and Sensitivities in Carr's Randomization Approximation Globally and Near Barrier.
Sergei LevendorskiiPublished in: SIAM J. Financial Math. (2011)
Keyphrases
- update rule
- convergence rate
- approximation error
- neural network
- sensitivity analysis
- privacy preserving
- markov random field
- approximation methods
- queueing networks
- convergence speed
- approximation algorithms
- learning algorithm
- closed form
- machine learning
- special case
- model selection
- faster convergence
- real world
- multi objective
- stochastic approximation
- data sets
- error tolerance
- linear computational complexity