Dynamic Programming Approach for Valuing Options in the GARCH Model.

Hatem Ben Ameur Michèle Breton Juan-Manuel Martinez

Published in: Manag. Sci. (2009)

Keyphrases

garch model
dynamic programming
stock market
multivariate time series
sar images
heavy tailed
chinese stock market
optimal policy
reinforcement learning
short term
infinite horizon
wavelet analysis