Pricing Arithmetic Asian Options under Hybrid Stochastic and Local Volatility.

Min-Ku Lee Jeong-Hoon Kim Kyu-Hwan Jang

Published in: J. Appl. Math. (2014)

Keyphrases

option pricing
stock price
financial markets
black scholes model
double exponential
stock market
hybrid learning
stochastic optimization
non stationary
garch model
stochastic process
financial crisis
arithmetic operations
financial time series
neural network
stochastic model
decision making