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BENCHOP - SLV: the BENCHmarking project in Option Pricing - Stochastic and Local Volatility problems.

Lina von SydowSlobodan MilovanovicElisabeth LarssonKarel J. in 't HoutMagnus WiktorssonCornelis W. OosterleeVictor ShcherbakovMaarten WynsÁlvaro LeitaoShashi JainTinne HaentjensJohan Waldén
Published in: Int. J. Comput. Math. (2019)
Keyphrases
  • option pricing
  • stock price
  • stochastic model
  • data mining
  • case study
  • reinforcement learning
  • decision support system
  • project management
  • black scholes