Kernel-based Monte Carlo simulation for American option pricing.

Gyu-Sik Han Bo-Hyun Kim Jaewook Lee

Published in: Expert Syst. Appl. (2009)

Keyphrases

monte carlo simulation
option pricing
monte carlo
stock price
markov chain
black scholes
decision analysis
capital budgeting
real option
black scholes model
non stationary
artificial intelligence
evolutionary algorithm
information extraction