A Robust Spectral Method for Solving Heston's Model.
Edson NgoundaKailash C. PatidarEdgard PindzaPublished in: J. Optim. Theory Appl. (2014)
Keyphrases
- probabilistic model
- cost function
- objective function
- statistical model
- mathematical model
- study proposes
- theoretical analysis
- computationally efficient
- modeling method
- em algorithm
- high accuracy
- evaluation method
- test data
- prior knowledge
- monte carlo simulation
- network model
- regression analysis
- kalman filter
- classification algorithm
- hybrid method
- optimization method
- parameter estimation
- bp neural network
- classification method
- significant improvement
- probability distribution
- hybrid model
- linear model
- input data
- clustering method
- recognition algorithm
- prediction model
- prior information
- combinatorial optimization
- detection method
- linear regression
- bayesian framework
- parameter space
- sensitivity analysis
- segmentation method
- evaluation model
- artificial neural networks