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Recombined multinomial tree based on saddle-point approximation and its application to Levy models options pricing.

Xiaoping HuYing XiuJie Cao
Published in: J. Comput. Appl. Math. (2019)
Keyphrases
  • probabilistic model
  • structured prediction
  • prior knowledge
  • approximation algorithms
  • saddle point
  • special case
  • linear programming
  • expectation maximization
  • bayesian framework