On the valuation of variance swaps with stochastic volatility.
Song-Ping ZhuGuang-Hua LianPublished in: Appl. Math. Comput. (2012)
Keyphrases
- stock market
- stock price
- machine learning
- monte carlo
- covariance matrix
- garch model
- learning automata
- data mining
- stochastic programming
- markov processes
- stochastic model
- maximum variance
- stock trading
- stochastic nature
- stochastic models
- stochastic optimization
- stochastic processes
- data sets
- standard deviation
- correlation coefficient
- neural network