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13 results on '"Sun, Yong-chao"'

4. Two-Echelon System Stochastic Optimization with R and CUDA

Author

Andrzejewski, Witold, Drozdowski, Maciej, Mu, Gang, Sun, Yong Chao, Hutchison, David, Series Editor, Kanade, Takeo, Series Editor, Kittler, Josef, Series Editor, Kleinberg, Jon M., Series Editor, Mattern, Friedemann, Series Editor, Mitchell, John C., Series Editor, Naor, Moni, Series Editor, Pandu Rangan, C., Series Editor, Steffen, Bernhard, Series Editor, Terzopoulos, Demetri, Series Editor, Tygar, Doug, Series Editor, Weikum, Gerhard, Series Editor, Wyrzykowski, Roman, editor, Dongarra, Jack, editor, Deelman, Ewa, editor, and Karczewski, Konrad, editor

Published
2018
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6. Supervised Machine Learning with Control Variates for American Option Pricing

Author

Mu Gang, Godina Teodor, Maffia Antonio, and Sun Yong Chao

Subjects
american options, monte carlo, gaussian processes, kriging, lsm, supervised learning, heston model, control variates, Electronic computers. Computer science, QA75.5-76.95
Abstract

In this paper, we make use of a Bayesian (supervised learning) approach in pricing American options via Monte Carlo simulations. We first present Gaussian process regression (Kriging) approach for American options pricing and compare its performance in estimating the continuation value with the Longstaff and Schwartz algorithm. Secondly, we explore the control variates technique in combination with Kriging to further improve the estimation of the continuation value. This method allows to reduce dramatically the standard errors and to improve the stability of the Kriging approach. For illustrative purposes, we use American put options on a stock whose dynamics is given by Heston model, and use European options on the same stock as control variates.

Published
2018
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9. Inferring 3D Body Pose from Uncalibrated Video

Author

Qiu, Xian-Jie, Wang, Zhao-Qi, Xia, Shi-Hong, Sun, Yong-Chao, Hutchison, David, editor, Kanade, Takeo, editor, Kittler, Josef, editor, Kleinberg, Jon M., editor, Mattern, Friedemann, editor, Mitchell, John C., editor, Naor, Moni, editor, Nierstrasz, Oscar, editor, Pandu Rangan, C., editor, Steffen, Bernhard, editor, Sudan, Madhu, editor, Terzopoulos, Demetri, editor, Tygar, Dough, editor, Vardi, Moshe Y., editor, Weikum, Gerhard, editor, Carbonell, Jaime G., editor, Siekmann, Jörg, editor, Bredenfeld, Ansgar, editor, Jacoff, Adam, editor, Noda, Itsuki, editor, and Takahashi, Yasutake, editor

Published
2006
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