Fast numerical valuation of options with jump under Merton's model.

Wansheng Wang Yingzi Chen

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

Keyphrases

formal model
computational model
mathematical model
sensitivity analysis
high level
probabilistic model
management system
least squares
real time
multi agent
prior knowledge
markov chain
parameter estimation
theoretical framework
neural network model
network model