Maximal (Minimal) Conditional Expectation and European Option Pricing with Ambiguous Return Rate and Volatility.
Junfei ZhangShoumei LiPublished in: Int. J. Approx. Reason. (2013)
Keyphrases
- option pricing
- stock price
- conditional expectation
- black scholes
- stock market
- stock exchange
- decision theory
- non stationary
- financial markets
- decision analysis
- exchange rate
- financial data
- historical data
- news articles
- financial time series
- estimation error
- weighted least squares
- black scholes model
- cooperative
- np hard