Stochastic Approximation Algorithms for Parameter Estimation in Option Pricing with Regime Switching

DOI10.1080/07362990701567322zbMath1124.62058OpenAlexW2069742239MaRDI QIDQ5430134

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Publication date: 12 December 2007

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990701567322

zbMATH Keywords

parameter estimationoption pricingBlack-Scholes method

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic approximation (62L20) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

A stochastic approximation algorithm for option pricing model calibration with a switchable market

Cites Work

• Mathematics of financial markets
• Stock Trading: An Optimal Selling Rule
• Recursive Algorithms for Stock Liquidation: A Stochastic Optimization Approach
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