Option pricing with polynomial chaos expansion stochastic bridge interpolators and signed path dependence

DOI10.1016/j.amc.2021.126484OpenAlexW3177897716MaRDI QIDQ2245957

Fabio Scalco Dias, Gareth W. Peters

Publication date: 15 November 2021

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2021.126484

zbMATH Keywords

option pricingmixture modelspolynomial chaos expansionsigned path dependencetime series momentum

Mathematics Subject Classification ID

Computational methods for problems pertaining to game theory, economics, and finance (91-08)

Cites Work

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