American option pricing under GARCH diffusion model: An empirical study.
Xinyu WuWenyu YangChaoqun MaXiujuan ZhaoPublished in: J. Syst. Sci. Complex. (2014)
Keyphrases
- option pricing
- diffusion model
- stock price
- black scholes
- decision analysis
- anisotropic diffusion
- exchange rate
- real option
- information diffusion
- diffusion process
- black scholes model
- stock market
- diffusion tensor
- historical data
- stock exchange
- non stationary
- influence diagrams
- financial markets
- computational complexity
- decision making
- social networks