Option pricing under a Markov modulated model using a cubic B-spline collocation method.
Geraldine TourDésiré Yannick TangmanPublished in: Int. J. Bus. Intell. Data Min. (2014)
Keyphrases
- probabilistic model
- cost function
- prior knowledge
- prior information
- em algorithm
- objective function
- cubic b spline
- option pricing
- black scholes model
- energy function
- sensitivity analysis
- similarity measure
- poisson process
- closed form
- probability distribution
- markov modulated
- level set
- feature selection
- edge detection
- pairwise
- expert systems
- decision making