Revisit of stochastic mesh method for pricing American options.
Guangwu LiuL. Jeff HongPublished in: WSC (2008)
Keyphrases
- objective function
- pairwise
- classification method
- clustering method
- optimization method
- significant improvement
- cost function
- dynamic programming
- detection method
- three dimensional
- high precision
- edge detection
- high accuracy
- model selection
- denoising
- computational cost
- segmentation method
- united states
- prior knowledge
- similarity measure
- data sets