Computational exploration of the biological basis of Black-Scholes expected utility function.
Bhattacharya, Sukanto, Kumar, Kuldeep (2007)
Journal of Applied Mathematics and Decision Sciences
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Displaying similar documents to “Selecting the best forecasting-implied volatility model using genetic programming.”
Computational exploration of the biological basis of Black-Scholes expected utility function.
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Pricing forward-start options in the HJM framework; evidence from the Polish market
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We show how to use the Gaussian HJM model to price modified forward-start options. Using data from the Polish market we calibrate the model and price this exotic option on the term structure. The specific problems of Central Eastern European emerging markets do not permit the use of the popular lognormal models of forward LIBOR or swap rates. We show how to overcome this difficulty.
An Expert System for National Economy Model Simulation
Lazo Roljić (2002)
The Yugoslav Journal of Operations Research
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