Formalizing the Cox-Ross-Rubinstein Pricing of European Derivatives in Isabelle/HOL.
Mnacho EchenimHervé GuiolNicolas PeltierPublished in: J. Autom. Reason. (2020)
Keyphrases
- theorem prover
- natural deduction
- inference rules
- first order logic
- higher order
- theorem proving
- higher order logic
- regression model
- summer school
- regression analysis
- european project
- pricing model
- distributional assumptions
- dynamic pricing
- optimal pricing
- directional derivatives
- data mining
- eu funded
- north american
- revenue management
- linear logic
- data mining techniques