Pricing Parisian Option under a Stochastic Volatility Model.

Min-Ku Lee Kyu-Hwan Jang

Published in: J. Appl. Math. (2014)

Keyphrases

high level
theoretical analysis
computational model
statistical model
objective function
theoretical framework
mathematical model
formal model
data sets
neural network
similarity measure
non stationary
prediction model
revenue management
stochastic nature