Pricing forward-start variance swaps with stochastic volatility.
Song-Ping ZhuGuang-Hua LianPublished in: Appl. Math. Comput. (2015)
Keyphrases
- financial markets
- forward and backward
- monte carlo
- stock market
- stock trading
- stochastic nature
- convertible bonds
- stock index futures
- covariance matrix
- stock price
- bi directional
- distributional assumptions
- financial crisis
- stochastic optimization
- stock returns
- turning points
- pricing model
- financial time series
- neural network
- stochastic process
- random variables
- long term
- learning algorithm