A characteristics-finite differences method for the Hobson-Rogers uncertain volatility model.
A. González-GasparCarlos VázquezPublished in: Math. Comput. Model. (2010)
Keyphrases
- mathematical model
- statistical model
- cost function
- probabilistic model
- input data
- prediction model
- markov model
- bayesian framework
- optimization method
- high accuracy
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- prior information
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- autoregressive
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- artificial neural networks
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