Fuzzy Option Pricing with Data-Driven Volatility using Novel Monte-Carlo Approach.
You LiangA. ThavaneswaranAlexander PasekaJanakumar BhanushaliPublished in: SSCI (2021)
Keyphrases
- monte carlo
- option pricing
- data driven
- stock price
- black scholes
- stock market
- fuzzy numbers
- importance sampling
- fuzzy sets
- markov chain
- non stationary
- stock exchange
- historical data
- monte carlo simulation
- fuzzy logic
- financial time series
- financial markets
- particle filter
- financial data
- decision analysis
- monte carlo tree search
- black scholes model
- news articles
- variance reduction
- exchange rate
- optimal strategy
- multi criteria
- soft computing
- matrix inversion
- short term
- text categorization
- long term
- data mining