Singular Perturbations in Option Pricing.

George Papanicolaou Jean-Pierre Fouque Knut Solna Ronnie Sircar

Published in: SIAM J. Appl. Math. (2003)

Keyphrases

option pricing
black scholes
stock price
decision analysis
capital budgeting
real option
computational intelligence
black scholes model
neural network
probabilistic model
decision makers
non stationary
short term