Exotic Option Prices Simulated by Monte Carlo Method on Market Driven by Diffusion with Poisson Jumps and Stochastic Volatility.
Magdalena BroszkiewiczAleksander JanickiPublished in: International Conference on Computational Science (3) (2005)
Keyphrases
- monte carlo method
- markov chain
- stock price
- monte carlo
- chinese stock market
- stock market
- financial markets
- electricity markets
- state space
- pricing mechanism
- garch model
- anisotropic diffusion
- genetic algorithm
- bidding strategies
- dynamic pricing
- closed form
- exchange rate
- bayesian learning
- maximum likelihood
- posterior distribution
- real option
- prior information
- graphical models
- probabilistic model
- pairwise