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Total value adjustment for a stochastic volatility model. A comparison with the Black-Scholes model.

Beatriz SalvadorCornelis W. Oosterlee
Published in: Appl. Math. Comput. (2021)
Keyphrases
  • theoretical framework
  • stochastic model
  • probabilistic model
  • hybrid model
  • objective function
  • probability distribution
  • neural network
  • prior knowledge
  • knowledge discovery