On a Full Stochastic Optimization Approach for European Option Pricing.

Venelin Todorov Slavi G. Georgiev

Published in: WCO (2022)

Keyphrases

stochastic optimization
option pricing
stock price
black scholes

multistage
decision analysis
black scholes model
multi criteria

real option
robust optimization
genetic algorithm
non stationary

artificial intelligence
special case
fuzzy logic
decision makers