Pricing vulnerable path-dependent options using integral transforms.

Junkee Jeon Ji-Hun Yoon Myungjoo Kang

Published in: J. Comput. Appl. Math. (2017)

Keyphrases

option pricing
black scholes model
double exponential
shortest path
artificial intelligence
endpoints
mechanism design
revenue management
profit maximization
data sets
databases
machine learning
image sequences
financial markets
decision analysis
dynamic pricing