Conditional quasi-Monte Carlo methods and dimension reduction for option pricing and hedging with discontinuous functions.
Ye XiaoXiaoqun WangPublished in: J. Comput. Appl. Math. (2018)
Keyphrases
- option pricing
- dimension reduction
- monte carlo methods
- monte carlo
- principal component analysis
- stock price
- black scholes
- feature extraction
- low dimensional
- high dimensional
- decision analysis
- singular value decomposition
- high dimensional data
- black scholes model
- real option
- bayesian networks
- feature selection
- linear discriminant analysis
- feature space
- simulated annealing
- dimensionality reduction
- unsupervised learning
- high dimensionality
- graphical models
- multi criteria
- least squares
- prior knowledge
- neural network