Option valuation and hedging using multinomial lattices with cumulants.
Yuji YamadaJames A. PrimbsPublished in: ACC (2006)
Keyphrases
- option pricing
- real option
- decision making
- pricing model
- life cycle
- decision makers
- text classification
- fourth order
- em algorithm
- black scholes model
- decision analysis
- blind source separation
- stock price
- naive bayes
- expectation maximization
- probabilistic model
- text categorization
- higher order statistics
- payoff functions
- exponential family
- logit model
- power plant
- transaction costs
- maximum likelihood
- data mining
- multi criteria
- discrete data
- high dimensional