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Option pricing with polynomial chaos expansion stochastic bridge interpolators and signed path dependence.
Fabio S. Dias
Gareth W. Peters
Published in:
Appl. Math. Comput. (2021)
Keyphrases
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option pricing
black scholes
stock price
decision analysis
capital budgeting
neural network
real option
genetic algorithm
black scholes model
financial markets
influence diagrams
historical data
decision problems
computational intelligence
state space
long term
reinforcement learning
decision making