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Numerical Determination of Time-Dependent Volatility for American Option When the Optimal Exercise Boundary Is Known.
Miglena N. Koleva
Lubin G. Vulkov
Published in:
LSSC (2023)
Keyphrases
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optimal design
dynamic programming
optimal solution
worst case
real time
neural network
upper bound
stock price
numerical data
information systems
feature selection
stock market
sensitivity analysis
optimal control
investment strategies
option pricing