Financial options pricing with regime-switching jump-diffusions.
Younhee LeePublished in: Comput. Math. Appl. (2014)
Keyphrases
- option pricing
- stock price
- black scholes model
- financial markets
- double exponential
- stock market
- markov chain
- non stationary
- diffusion processes
- anisotropic diffusion
- decision analysis
- portfolio optimization
- financial data
- vector valued
- historical data
- decision making
- neural network
- dynamic pricing
- real option
- differential equations
- news articles
- social networks