Pricing Options under Rough Volatility with Backward SPDEs.
Christian BayerJinniao QiuYao YaoPublished in: SIAM J. Financial Math. (2022)
Keyphrases
- option pricing
- stock price
- black scholes model
- financial markets
- black scholes
- double exponential
- stock market
- rough sets
- stock exchange
- exchange rate
- bi directional
- non stationary
- historical data
- financial time series
- garch model
- pricing model
- forward and backward
- news articles
- chinese stock market
- financial data
- financial crisis
- stock returns
- data sets
- real option
- forward backward
- trading systems
- forward search
- profit maximization
- fuzzy sets
- convertible bonds
- genetic algorithm