A new analytical approximation for European puts with stochastic volatility.
Song-Ping ZhuWen-Ting ChenPublished in: Appl. Math. Lett. (2010)
Keyphrases
- discrete random variables
- approximation schemes
- monte carlo sampling
- stage stochastic programs
- approximation algorithms
- monte carlo
- learning automata
- stochastic model
- stochastic optimization
- approximation error
- stock price
- image segmentation
- closed form
- european project
- error bounds
- north american
- approximation ratio
- stock market
- garch model
- financial crisis
- financial time series
- queueing networks
- exchange rate
- efficient computation