Computation of the effects of uncertainty in volatility on option pricing and hedging.
Motoi NamihiraDavid A. KoprivaPublished in: Int. J. Comput. Math. (2012)
Keyphrases
- option pricing
- stock price
- black scholes
- real option
- financial markets
- stock market
- non stationary
- stock exchange
- historical data
- decision analysis
- news articles
- exchange rate
- black scholes model
- financial time series
- capital budgeting
- decision theory
- decision making
- conditional probabilities
- computational intelligence
- financial crisis
- domain knowledge