A Numerical Method for Financial Decision Problems under Stochastic Volatility.
Enlu ZhouLin KunMichael C. FuSteven I. MarcusPublished in: WSC (2009)
Keyphrases
- decision problems
- numerical methods
- stock market
- stock price
- financial crisis
- financial markets
- approximation schemes
- influence diagrams
- stock index futures
- utility function
- differential equations
- decision model
- boundary element method
- stock returns
- optimal policy
- partial differential equations
- np hard
- computational complexity
- decision processes
- exchange rate
- financial data
- finite difference method
- bayesian decision problems
- finite element method
- multiple criteria
- level set method
- decision making
- monte carlo
- bandit problems
- risk management
- level set
- data mining