Using computational methodology to price European options with actual payoff distributions.

Chieh-Chung Sheng Hsiao-Ya Chiu An-Pin Chen

Published in: Soft Comput. (2007)

Keyphrases

probability distribution
payoff functions
long term
mathematical programming
neural network
database
real world
artificial intelligence
hidden markov models
random variables
game theory
joint distribution
power law
option pricing
north american