Monte Carlo option pricing with asymmetric realized volatility dynamics.
David E. AllenMichael McAleerMarcel ScharthPublished in: Math. Comput. Simul. (2011)
Keyphrases
- monte carlo
- option pricing
- stock price
- black scholes
- stock market
- non stationary
- stock exchange
- exchange rate
- financial time series
- markov chain
- historical data
- monte carlo simulation
- financial markets
- importance sampling
- financial data
- markovian decision
- decision analysis
- dynamical systems
- particle filter
- news articles
- matrix inversion
- adaptive sampling
- reinforcement learning
- optimal strategy
- learning experience
- text categorization
- decision making