Pricing vulnerable options under a stochastic volatility model.

Sung-Jin Yang Min-Ku Lee Jeong-Hoon Kim

Published in: Appl. Math. Lett. (2014)

Keyphrases

stochastic model
probabilistic model
prior knowledge
long term
cost function
theoretical analysis
experimental data
probability distribution
maximum likelihood
em algorithm
monte carlo
formal model
prediction model
stochastic process
forecasting model