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Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential Lévy Models with Local Volatility.

José E. Figueroa-LópezRuoting GongMatthew Lorig
Published in: SIAM J. Financial Math. (2018)
Keyphrases
  • prior knowledge
  • probabilistic model
  • complex systems
  • statistical models
  • real time
  • machine learning algorithms
  • statistical model
  • machine learning
  • information retrieval
  • model selection
  • non stationary