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Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes.

Mohamed FakharanyRafael CompanyLucas Jódar
Published in: J. Comput. Appl. Math. (2016)
Keyphrases
  • wide class
  • option pricing
  • decision problems
  • neural network
  • long term
  • principal component analysis
  • distance measure
  • sensitivity analysis