Pricing perpetual American puts under multi-scale stochastic volatility.
Wen-Ting ChenSong-Ping ZhuPublished in: Asymptot. Anal. (2012)
Keyphrases
- multiscale
- financial markets
- edge detection
- united states
- stock price
- learning automata
- stochastic optimization
- stock market
- image representation
- wavelet transform
- natural images
- garch model
- scale space
- financial crisis
- stock trading
- distributional assumptions
- option pricing
- stochastic programming
- image processing
- stock index futures
- mechanism design
- stochastic model
- optic flow
- local binary pattern
- coarse to fine
- supply chain
- long term
- image segmentation