Pricing of Rainbow Options: Game Theoretic Approach.

Z. Hucki Vassili N. Kolokoltsov

Published in: IGTR (2007)

Keyphrases

option pricing
black scholes model
double exponential
black scholes
stock price
decision analysis
computer vision
revenue management
distributional assumptions
stock market
non stationary
real world
dynamic pricing
data structure
similarity measure
profit maximization
clustering algorithm