Fitted finite volume method for indifference pricing in an exponential utility regime-switching model.
Tihomir B. GyulovMiglena N. KolevaLubin G. VulkovPublished in: J. Comput. Appl. Math. (2021)
Keyphrases
- statistical model
- mathematical model
- probabilistic model
- theoretical analysis
- cost function
- similarity measure
- optimization method
- sensitivity analysis
- hybrid method
- test data
- bp neural network
- energy function
- em algorithm
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- prediction model
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- network model
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- study proposes
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- prior information
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