An analytic valuation method for multivariate contingent claims with regime-switching volatilities.
Ji Hee YoonBong-Gyu JangKum-Hwan RohPublished in: Oper. Res. Lett. (2011)
Keyphrases
- high accuracy
- detection method
- support vector machine
- regression model
- evolutionary algorithm
- experimental evaluation
- computational cost
- synthetic data
- significant improvement
- dynamic programming
- theoretical analysis
- classification method
- data sets
- non stationary
- clustering method
- optimization algorithm
- computationally efficient
- cost function
- pairwise
- objective function
- multiscale