An iterative splitting method for pricing European options under the Heston model.
Hongshan LiZhongyi HuangPublished in: CoRR (2020)
Keyphrases
- probabilistic model
- statistical model
- black scholes model
- sensitivity analysis
- mathematical model
- cost function
- similarity measure
- test data
- linear model
- input data
- high order
- study proposes
- prior information
- objective function
- optimization model
- prior knowledge
- modeling method
- computational model
- parameter estimation
- iterative process
- analytical model
- regression analysis
- evaluation method
- prediction model
- monte carlo simulation
- closed form
- pairwise
- reconstruction method
- theoretical analysis
- tree structure
- significant improvement
- em algorithm
- autoregressive
- high accuracy
- network model
- hybrid method
- gaussian distribution
- evaluation model
- markov model
- kalman filter
- clustering method
- dynamic programming
- decision directed
- neural network
- bayesian framework
- statistical methods
- classification method
- segmentation method
- detection method
- model selection
- markov random field
- probability distribution