An analytic pricing formula for lookback options under stochastic volatility.
Kwai Sun LeungPublished in: Appl. Math. Lett. (2013)
Keyphrases
- black scholes model
- option pricing
- stock price
- black scholes
- financial markets
- stock market
- non stationary
- decision analysis
- double exponential
- stock exchange
- stock returns
- financial data
- news articles
- historical data
- exchange rate
- stochastic model
- stochastic process
- financial time series
- monte carlo
- neural network
- garch model
- stock trading
- stochastic processes
- multistage
- convertible bonds
- learning algorithm