A Spectral Element Approximation to Price European Options with One Asset and Stochastic Volatility.
Wuming ZhuDavid A. KoprivaPublished in: J. Sci. Comput. (2010)
Keyphrases
- approximation schemes
- financial markets
- discrete random variables
- stage stochastic programs
- monte carlo sampling
- monte carlo
- stock market
- error bounds
- approximation algorithms
- approximation error
- hyperspectral
- spectral analysis
- hyperspectral imagery
- spectral features
- option pricing
- multispectral images
- summer school
- stock index futures
- learning automata
- stochastic programming
- approximation methods
- stochastic optimization
- relative error
- support vector
- exchange rate
- stock price
- closed form
- multispectral
- xml documents