A stochastic approximation algorithm for option pricing model calibration with a switchable market
DOI10.1080/00207160903128505zbMath1203.91300OpenAlexW2079728569MaRDI QIDQ3066992
Jie Yu, Qing Zhang, G. George Yin
Publication date: 20 January 2011
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207160903128505
parameter estimationstochastic approximationoption pricingconvergence and rate of convergencemarket mode prediction
Stochastic approximation (62L20) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of continuous-time Markov processes on discrete state spaces (60J28)
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