Artificial boundary method for the solution of pricing European options under the Heston model.
Hongshan LiZhongyi HuangPublished in: CoRR (2019)
Keyphrases
- mathematical model
- optimization method
- study proposes
- black scholes model
- evaluation method
- statistical model
- detection method
- objective function
- probabilistic model
- theoretical analysis
- test data
- closed form
- optimization procedure
- gaussian distribution
- prior information
- high order
- cost function
- prior knowledge
- fuzzy linear programming
- prediction model
- hybrid model
- significant improvement
- sensitivity analysis
- modeling method
- bp neural network
- pairwise
- bayesian framework
- linear model
- regression analysis
- classification method
- reconstruction method
- numerical methods
- iterative procedure
- linear regression
- approximation methods
- parameter estimation
- smoothing parameter
- energy function
- genetic algorithm
- image sequences
- similarity measure
- artificial neural networks
- parameter space
- neural network
- classification algorithm
- clustering method
- tree structure