Dual Pricing of American Options by Wiener Chaos Expansion.

Jérôme Lelong

Published in: SIAM J. Financial Math. (2018)

Keyphrases

option pricing
black scholes model
double exponential
black scholes
neural network
united states
particle swarm optimization
wiener filter
chaos theory
dynamic pricing
decision analysis
additive noise
primal dual
dual formulation
stock price
payoff functions
information systems