Pricing for perpetual American strangle options under stochastic volatility with fast mean reversion.
Mijin HaDonghyun KimJi-Hun YoonSun-Yong ChoiPublished in: Math. Comput. Simul. (2025)
Keyphrases
- option pricing
- financial markets
- stock price
- portfolio selection
- black scholes model
- double exponential
- stock market
- united states
- non stationary
- passive aggressive
- stochastic model
- stochastic processes
- stock exchange
- chinese stock market
- stochastic process
- exchange rate
- stochastic programming
- historical data
- garch model
- stock trading
- risk management
- reinforcement learning