Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models.
José Da FonsecaAlessandro GnoattoMartino GrasselliPublished in: Oper. Res. Lett. (2015)
Keyphrases
- stock market
- garch model
- stock price
- option pricing
- financial markets
- stochastic models
- statistical models
- historical data
- stock trading
- experimental data
- parameter estimation
- probabilistic model
- prior knowledge
- computational models
- machine learning
- autoregressive
- exchange rate
- short term
- financial crisis
- artificial neural networks