Closed-Form Expression of Geometric Brownian Motion with Regime-Switching and Its Applications to European Option Pricing.
Cheng-Yu FangYue LiuZhi-Yan ShiCong ChenPublished in: Symmetry (2023)
Keyphrases
- closed form
- brownian motion
- option pricing
- closed form solutions
- stock price
- stochastic process
- differential equations
- optimal control
- diffusion process
- poisson process
- stochastic processes
- point correspondences
- heavy traffic
- real option
- queue length
- feature selection
- non stationary
- em algorithm
- reinforcement learning