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A martingale method for option pricing under a CEV-based fast-varying fractional stochastic volatility model.
Hyun-Gyoon Kim
So-Yoon Cho
Jeong-Hoon Kim
Published in:
Comput. Appl. Math. (2023)
Keyphrases
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objective function
probabilistic model
sensitivity analysis
stochastic model
prior knowledge
probability distribution
genetic algorithm
computational complexity
dynamic programming
decision model
black scholes model