Least-square-based control variate method for pricing options under general factor models.
Chenglong XuJunmei MaYiming TianPublished in: Int. J. Comput. Math. (2019)
Keyphrases
- high accuracy
- prior knowledge
- detection method
- least squares
- synthetic data
- cost function
- probabilistic model
- computational cost
- preprocessing
- monte carlo simulation
- mathematical model
- dynamic programming
- experimental evaluation
- special case
- model selection
- bayesian framework
- similarity measure
- markov random field
- clustering method
- significant improvement
- k means
- pairwise
- prediction model
- autoregressive
- numerical methods