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Assessing the impact of jumps in an option pricing model: A gradient estimation approach.

Warren Volk-MakarewiczSvetlana BorovkovaBernd Heidergott
Published in: Eur. J. Oper. Res. (2022)
Keyphrases
  • probabilistic model
  • probability distribution
  • option pricing
  • gradient estimation
  • objective function
  • computational complexity
  • prior knowledge
  • parameter estimation
  • sample size
  • theoretical framework
  • decision model