Asian Option Pricing with Transaction Costs and Dividends under the Fractional Brownian Motion Model.
Yan ZhangDi PanShengwu ZhouMiao HanPublished in: J. Appl. Math. (2014)
Keyphrases
- motion model
- transaction costs
- option pricing
- stock price
- stock exchange
- black scholes
- stock market
- motion estimation
- optical flow
- non stationary
- image sequences
- particle filter
- historical data
- financial markets
- financial data
- random fields
- long run
- black scholes model
- exchange rate
- news articles
- financial time series
- computer vision
- data mining
- game theory
- graphical models
- information extraction