Pricing perpetual American options under a stochastic-volatility model with fast mean reversion.

Song-Ping Zhu Wen-Ting Chen

Published in: Appl. Math. Lett. (2011)

Keyphrases

experimental data
neural network
high level
probabilistic model
similarity measure
objective function
probability distribution
mathematical model
statistical model
conceptual model
learning algorithm
artificial neural networks
formal model
stochastic model
stochastic process
black scholes model