A stochastic approximation algorithm for option pricing model calibration with a switchable market (Q3066992)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 5839371
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | A stochastic approximation algorithm for option pricing model calibration with a switchable market |
scientific article; zbMATH DE number 5839371 |
Statements
A stochastic approximation algorithm for option pricing model calibration with a switchable market (English)
0 references
20 January 2011
0 references
option pricing
0 references
parameter estimation
0 references
market mode prediction
0 references
stochastic approximation
0 references
convergence and rate of convergence
0 references
0 references
0 references
0 references
0.8820633292198181
0 references
0.807303786277771
0 references
0.7934629917144775
0 references
