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A stochastic approximation algorithm for option pricing model calibration with a switchable market.
Gang George Yin
Jie Yu
Qing Zhang
Published in:
Int. J. Comput. Math. (2010)
Keyphrases
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stochastic approximation
probabilistic model
objective function
option pricing
worst case
dynamic programming
search space
monte carlo
model free
computational complexity
np hard
learning algorithm
optimal solution
least squares
text classification
stock price