Quadratic Convergence for Valuing American Options Using a Penalty Method.
Peter A. ForsythKenneth R. VetzalPublished in: SIAM J. Sci. Comput. (2002)
Keyphrases
- objective function
- significant improvement
- dynamic programming
- high precision
- missing data
- decision trees
- neural network
- iterative algorithms
- convergence rate
- cost function
- experimental evaluation
- faster convergence
- classification method
- segmentation method
- detection method
- high accuracy
- support vector machine
- computational cost
- pairwise
- feature space
- feature extraction