Analytical upper bounds for American exotic currency options with a stochastic skew model.
Zhi-Yuan FengXu-Cheng WangPublished in: Int. J. Appl. Decis. Sci. (2017)
Keyphrases
- upper bound
- management system
- objective function
- experimental data
- computational model
- prior knowledge
- stochastic nature
- stochastic model
- formal model
- monte carlo
- theoretical framework
- sufficient conditions
- mathematical model
- theoretical analysis
- conceptual model
- lower bound
- prediction model
- high level
- genetic algorithm