Pricing American Options on Dividend-Paying Stocks and Estimating the Greek Letters Using Leisen-Reimer Binomial Trees.
Nan ZhangKaiyu WanEng Gee LimKa Lok ManPublished in: GPC (2013)
Keyphrases
- option pricing
- stock price
- black scholes model
- financial markets
- stock market
- stock exchange
- dow jones
- non stationary
- decision trees
- double exponential
- rigid body
- learning automata
- historical data
- financial data
- tree structure
- exchange rate
- tree construction
- comparative evaluation
- stock market data
- optimal pricing
- machine learning
- market data
- pricing model
- financial time series
- data mining
- news articles
- united states