Parameter estimation for time-fractional Black-Scholes equation with S &P 500 index option.
Xingyu AnQingxia (Jenny) WangFawang LiuVo V. AnhIan W. TurnerPublished in: Numer. Algorithms (2024)
Keyphrases
- parameter estimation
- option pricing
- black scholes
- stock price
- maximum likelihood
- stock market
- numerical methods
- em algorithm
- markov random field
- least squares
- decision analysis
- model selection
- stock exchange
- non stationary
- black scholes model
- random fields
- parameter estimation algorithm
- real option
- news articles
- expectation maximization
- data mining
- financial time series
- historical data
- parameter estimates
- financial markets
- influence diagrams
- differential equations
- long term