Parameter estimation of uncertain stock model using residual method optimized by genetic algorithm: valuation of vulnerable European and barrier options.
Farshid MehrdoustIdin NooraniAbdelouahed HamdiPublished in: Soft Comput. (2024)
Keyphrases
- parameter estimation
- em algorithm
- maximum likelihood estimation
- genetic algorithm
- parameters estimation
- model fitting
- parameter values
- statistical model
- model selection
- gibbs sampling
- maximum likelihood
- least squares
- statistical models
- probabilistic model
- prior knowledge
- parameter estimates
- parameter estimation algorithm
- bayesian framework
- markov random field
- optimization method
- linear model
- random fields
- prior information
- closed form
- approximate inference
- energy function
- expectation maximization
- linear models
- parameter learning
- similarity measure
- computer vision
- gaussian distribution
- maximum entropy
- posterior distribution
- ls svm
- high dimensional
- estimation problems
- three dimensional