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Pricing discretely-monitored double barrier options with small probabilities of execution.

Vasileios E. KontosakosKeegan MendoncaAthanasios A. PantelousKonstantin Zuev
Published in: Eur. J. Oper. Res. (2021)
Keyphrases
  • option pricing
  • double exponential
  • small number
  • black scholes model
  • real time
  • neural network
  • information systems
  • case study
  • training data
  • evolutionary algorithm
  • financial markets
  • occurrence probability