American option pricing under stochastic volatility: a simulation-based approach.
Arunachalam ChockalingamKumar MuthuramanPublished in: WSC (2007)
Keyphrases
- option pricing
- stock price
- non stationary
- stock market
- black scholes
- historical data
- stock exchange
- financial data
- decision analysis
- financial markets
- news articles
- financial time series
- exchange rate
- real option
- capital budgeting
- decision makers
- data mining
- stochastic processes
- long term
- artificial intelligence
- neural network
- stochastic process
- decision making
- black scholes model