Pricing of American Put Option with Uncertainty of Stock Prices by Weighting Functions.

Yuji Yoshida Masami Yasuda Jun-ichi Nakagami Masami Kurano

Published in: FSKD (2002)

Keyphrases

option pricing
stock price
weighting functions
stock market
financial markets
stock exchange
non stationary
historical data
dow jones
cost function
news articles
financial data
real option
control parameters
term weighting
feature selection
multiscale