An adaptive averaging binomial method for option valuation.
Kyoung-Sook MoonHongjoong KimPublished in: Oper. Res. Lett. (2013)
Keyphrases
- detection method
- cost function
- high accuracy
- high precision
- experimental evaluation
- computational cost
- detection algorithm
- similarity measure
- segmentation method
- synthetic data
- dynamic programming
- input data
- fully automatic
- error rate
- prior knowledge
- objective function
- computationally efficient
- theoretical analysis
- main contribution
- feature set
- clustering method
- support vector machine
- significant improvement
- preprocessing
- machine learning