A Fast, Accurate and Simple Method for Pricing European-Asian and Saving-Asian Options.
Kenichiro OhtaKunihiko SadakaneAkiyoshi ShiouraTakeshi TokuyamaPublished in: ESA (2002)
Keyphrases
- high precision
- computationally efficient
- highly accurate
- significant improvement
- high accuracy
- fully automatic
- detection method
- mutual information
- experimental evaluation
- prior knowledge
- objective function
- computational complexity
- dynamic programming
- preprocessing
- synthetic data
- main contribution
- pairwise
- model selection
- feature set
- data sets
- segmentation algorithm
- clustering method
- support vector machine
- classification accuracy
- segmentation method
- computational cost
- similarity measure
- feature extraction