A stochastic approximation algorithm for option pricing model calibration with a switchable market (Q3066992)
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scientific article; zbMATH DE number 5839371
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| English | A stochastic approximation algorithm for option pricing model calibration with a switchable market |
scientific article; zbMATH DE number 5839371 |
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A stochastic approximation algorithm for option pricing model calibration with a switchable market (English)
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20 January 2011
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option pricing
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parameter estimation
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market mode prediction
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stochastic approximation
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convergence and rate of convergence
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0.8820633292198181
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0.807303786277771
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0.7934629917144775
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