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A fast numerical approach to option pricing with stochastic interest rate, stochastic volatility and double jumps.
Sumei Zhang
Lihe Wang
Published in:
Commun. Nonlinear Sci. Numer. Simul. (2013)
Keyphrases
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option pricing
stock price
markov chain
stochastic processes
stochastic process
reinforcement learning
information extraction
risk management
exchange rate
stochastic model
black scholes