A Bridge between American and European Options: The "Ameripean" Delayed-Exercise Model.
Paul V. JohnsonNicholas J. SharpPeter W. DuckDavid P. NewtonPublished in: SIAM J. Financial Math. (2011)
Keyphrases
- computational model
- conceptual model
- high level
- multiscale
- mobile robot
- simulation model
- closed form
- theoretical framework
- maximum likelihood
- management system
- cost function
- machine learning
- artificial neural networks
- objective function
- case study
- clustering algorithm
- bayesian framework
- theoretical foundation
- genetic algorithm