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Pricing for a vulnerable bull spread options using a mixed modified fractional Hull-White-Vasicek model.
Eric Djeutcha
Jules Sadefo Kamdem
Published in:
Ann. Oper. Res. (2024)
Keyphrases
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prior knowledge
probabilistic model
machine learning
high level
cost function
management system
higher order
real time
statistical model
simulation model
sensitivity analysis
differential equations
formal model
high order
experimental data
process model
markov chain