Analysis of the SSAP Method for the Numerical Valuation of High-Dimensional Multivariate American Securities.
L. N. CoyleJ. J. YangPublished in: Algorithmica (1999)
Keyphrases
- synthetic data
- experimental evaluation
- high accuracy
- numerical analysis
- classification method
- computational cost
- high dimensional
- preprocessing
- probabilistic model
- similarity measure
- input data
- template matching
- dynamic programming
- principal component analysis
- high dimensional data
- similarity search
- pairwise
- high precision
- noisy data
- parameter space
- objective function