Stochastic Approximation Algorithms for Parameter Estimation in Option Pricing with Regime Switching
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Publication:5430134
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
Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic approximation (62L20) Derivative securities (option pricing, hedging, etc.) (91G20)
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