A fitted L-Multi-point Flux Approximation method for pricing options.
Rock Stephane KoffiAntoine TambuePublished in: CoRR (2019)
Keyphrases
- significant improvement
- high accuracy
- cost function
- closed form
- segmentation method
- similarity measure
- clustering method
- optimization method
- high precision
- mutual information
- experimental evaluation
- synthetic data
- computationally efficient
- basis functions
- support vector machine
- approximation algorithms
- relative error