An improved simulation method for pricing high-dimensional American derivatives.

Phelim P. Boyle Adam W. Kolkiewicz Ken Seng Tan

Published in: Math. Comput. Simul. (2003)

Keyphrases

high precision
clustering method
high accuracy
prior knowledge
high dimensional
experimental evaluation
theoretical analysis
input data
preprocessing
mathematical model
significant improvement
computational complexity
feature set
scale space
probabilistic model
detection method
synthetic data
pairwise