American option pricing under stochastic volatility: an efficient numerical approach.
Farid AitSahliaManisha GoswamiSuchandan GuhaPublished in: Comput. Manag. Sci. (2010)
Keyphrases
- option pricing
- stock price
- black scholes
- stock market
- financial markets
- decision analysis
- non stationary
- historical data
- financial data
- stock exchange
- capital budgeting
- exchange rate
- news articles
- stochastic model
- black scholes model
- sensitivity analysis
- decision making
- real option
- artificial intelligence
- expert systems