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Efficient Monte Carlo option pricing under CEV model.

Farshid MehrdoustS. BabaeiSomayeh Fallah
Published in: Commun. Stat. Simul. Comput. (2017)
Keyphrases
  • monte carlo
  • monte carlo simulation
  • parameter estimation
  • option pricing
  • objective function
  • expert systems
  • particle filter
  • sensitivity analysis
  • historical data
  • decision theoretic