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

DOI10.1080/00207160903128505zbMATH Open1203.91300OpenAlexW2079728569MaRDI QIDQ3066992FDOQ3066992

Authors: Jie Yu, G. Yin, Q. Zhang 

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

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zbMATH Keywords

parameter estimationoption pricingstochastic approximationconvergence and rate of convergencemarket mode prediction

Mathematics Subject Classification ID

Applications of continuous-time Markov processes on discrete state spaces (60J28) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic approximation (62L20)

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Cited In (4)

• Stochastic Approximation Algorithms for Parameter Estimation in Option Pricing with Regime Switching
• Option pricing when the regime-switching risk is priced
• Stock loan valuation under a regime-switching model with mean-reverting and finite maturity
• Title not available (Why is that?)

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