Option Prices in a Model with Stochastic Disaster Risk.
Sang Byung SeoJessica A. WachterPublished in: Manag. Sci. (2019)
Keyphrases
- stochastic model
- mathematical model
- computational model
- risk assessment
- probabilistic model
- high level
- objective function
- similarity measure
- experimental data
- formal model
- cost function
- em algorithm
- theoretical analysis
- neural network
- theoretical framework
- statistical model
- monte carlo
- simulation model
- learning algorithm