Robust static hedging of barrier options in stochastic volatility models.

Jan H. Maruhn Ekkehard W. Sachs

Published in: Math. Methods Oper. Res. (2009)

Keyphrases

probabilistic model
prior knowledge
complex systems
experimental data
stochastic models
genetic algorithm
bayesian networks
least squares
parameter estimation
statistical model
monte carlo
machine learning
learning algorithm
graphical models
option pricing