The COS method for option valuation under the SABR dynamics.
Z. van der HaveC. W. OosterleePublished in: Int. J. Comput. Math. (2018)
Keyphrases
- main contribution
- fully automatic
- high accuracy
- experimental evaluation
- dynamic programming
- clustering method
- theoretical analysis
- computationally efficient
- synthetic data
- cost function
- significant improvement
- experimental study
- preprocessing
- edge detection
- detection method
- classification method
- optimization method
- evaluation method
- support vector machine svm
- data sets
- classification accuracy
- high dimensional
- pairwise
- objective function
- multiscale
- neural network