Using stochastic optimization methods for stock selling decision making and option pricing: numerics and bias and variance dependent convergence rates.
J. BaoA. BeluY. GershonY. J. LiuGeorge YinQing ZhangPublished in: Commun. Inf. Syst. (2007)
Keyphrases
- optimization methods
- option pricing
- convergence rate
- stock price
- global convergence
- decision making
- stochastic methods
- decision analysis
- stage stochastic programs
- real option
- optimization method
- stock market
- optimization problems
- decision makers
- black scholes
- gradient method
- simulated annealing
- convergence speed
- non stationary
- historical data
- stock exchange
- news articles
- influence diagrams
- multi criteria
- black scholes model
- financial markets
- decision support system
- financial data
- primal dual
- fuzzy logic
- machine learning
- stochastic process
- global optimum
- multi attribute
- search algorithm
- data mining