A case study on pricing foreign exchange options using the modified Craig-Sneyd ADI scheme.

Chittaranjan Mishra Xiaoping Lu

Published in: Int. J. Comput. Math. (2020)

Keyphrases

foreign exchange
option pricing
double exponential
black scholes model
generative model
detection scheme
databases
learning algorithm
feature selection
case study
non stationary
stock market
classification scheme
early warning