A second-order ADI method for pricing options under fractional regime-switching models.
Ming-Kai WangCheng WangJun-Feng YinPublished in: Networks Heterog. Media (2023)
Keyphrases
- statistical model
- linear regression
- synthetic data
- detection method
- preprocessing
- cost function
- probabilistic model
- genetic algorithm
- support vector machine svm
- higher order
- support vector machine
- pairwise
- objective function
- similarity measure
- machine learning
- parameter estimation
- training data
- segmentation method
- high order
- autoregressive
- numerical methods
- modeling method