Efficiently pricing continuously monitored barrier options under stochastic volatility model with jumps.

Sumei Zhang Junhao Geng

Published in: Int. J. Comput. Math. (2017)

Keyphrases

computational model
experimental data
bayesian networks
stochastic process
probabilistic model
learning algorithm
stochastic nature
stochastic model
mathematical model
long term
em algorithm
markov chain
probability distribution
cost function
stock market
prior knowledge
real time