Using Stochastic Approximation for Parameter Estimation in Option Pricing.
George YinQing ZhangChao ZhuangPublished in: ACC (2007)
Keyphrases
- parameter estimation
- stochastic approximation
- option pricing
- stock price
- maximum likelihood
- decision analysis
- monte carlo
- least squares
- markov random field
- model selection
- em algorithm
- black scholes model
- parameter estimation algorithm
- random fields
- policy iteration
- expectation maximization
- real option
- decision makers
- special case
- pairwise
- influence diagrams
- computer vision