A Simplified Approach to the Pricing of Vulnerable Options with Two Underlying Assets in an Intensity-Based Model.
Geonwoo KimPublished in: Axioms (2023)
Keyphrases
- mathematical model
- computational model
- probabilistic model
- neural network
- database
- prior knowledge
- statistical model
- probability distribution
- em algorithm
- parameter estimation
- theoretical framework
- revenue management
- prediction model
- formal model
- mutual information
- cost function
- objective function
- high level
- decision making