A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
The paper uses LSMC to price capped American options with time-dependent caps.
Paper calculates perpetual put option pricing with drawdown cap.
Paper calculates perpetual American put option pricing with drawdown event in Lévy market.
In short, our experiments suggest that yes, on average, rotation forest is better than the most common alternatives when all the attributes are real-valued. Rotation forest is a tree based ensemble that performs transforms on subsets of attributes prior to constructing each tree. We present an empirical comparison of c…