Pricing of American retail options.
Christina BurtonMcKay HeasleyJeffrey HumpherysJialin LiPublished in: ACC (2010)
Keyphrases
- option pricing
- black scholes model
- double exponential
- black scholes
- united states
- supply chain
- dynamic pricing
- multiscale
- historical data
- real option
- revenue management
- knowledge base
- neural network
- case study
- reinforcement learning
- evolutionary algorithm
- databases
- decision trees
- decision analysis
- information systems
- machine learning