European Options in a Nonlinear Incomplete Market Model with Default.
Miryana GrigorovaMarie Claire QuenezAgnès SulemPublished in: SIAM J. Financial Math. (2020)
Keyphrases
- computational model
- data sets
- conceptual model
- experimental data
- probabilistic model
- management system
- high level
- formal model
- high order
- theoretical framework
- feature space
- objective function
- multiscale
- probability distribution
- cost function
- prior knowledge
- neural network model
- similarity measure
- prediction model
- linear model