On pricing of credit spread options.
Rosella GiacomettiMariangela TeocchiPublished in: Eur. J. Oper. Res. (2005)
Keyphrases
- option pricing
- black scholes model
- double exponential
- credit scoring
- risk analysis
- stock price
- decision analysis
- real world
- black scholes
- artificial intelligence
- search strategies
- data sets
- profit maximization
- mechanism design
- credit card
- financial markets
- decision makers
- evolutionary algorithm
- expert systems
- dynamic pricing
- support vector
- distributional assumptions
- decision making
- fraud detection
- decision support system
- support vector machine svm