A spectral-collocation method for pricing perpetual American puts with stochastic volatility.
Song-Ping ZhuWen-Ting ChenPublished in: Appl. Math. Comput. (2011)
Keyphrases
- detection method
- cost function
- significant improvement
- neural network
- classification method
- pairwise
- computational cost
- probabilistic model
- high accuracy
- synthetic data
- high resolution
- decision trees
- dynamic programming
- classification accuracy
- support vector machine svm
- genetic algorithm
- segmentation method
- data sets