Option Pricing and Hedging for Discrete Time Autoregressive Hidden Markov Model.

Massimo Caccia Bruno N. Rémillard

Published in: CoRR (2017)

Keyphrases

option pricing
hidden markov models
autoregressive
stock price
non stationary
black scholes
decision analysis
random fields
conditional random fields
markov chain
real option
sar images
pairwise
feature extraction
active contours
data mining
natural language
financial markets
multiscale
stock exchange
machine learning