Fast Numerical Pricing of Barrier Options under Stochastic Volatility and Jumps.
Chiara GuardasoniSimona SanfeliciPublished in: SIAM J. Appl. Math. (2016)
Keyphrases
- option pricing
- stock price
- financial markets
- black scholes model
- markov chain
- monte carlo
- double exponential
- stock market
- stochastic process
- stochastic optimization
- numerical analysis
- exchange rate
- non stationary
- decision making
- chinese stock market
- stock returns
- stock trading
- stock exchange
- stochastic processes
- stochastic model
- numerical methods
- historical data
- sensitivity analysis