American option pricing under stochastic volatility: an empirical evaluation.
Farid AitSahliaManisha GoswamiSuchandan GuhaPublished in: Comput. Manag. Sci. (2010)
Keyphrases
- option pricing
- stock price
- stock market
- black scholes
- non stationary
- stock exchange
- financial markets
- historical data
- decision analysis
- capital budgeting
- exchange rate
- news articles
- black scholes model
- financial data
- financial time series
- neural network
- stochastic processes
- real option
- text classification
- long term
- evolutionary algorithm