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Valuation of option price in commodity markets described by a Markov-switching model: A case study of WTI crude oil market
This paper suggests a Markov-switching model to evaluate commodity futures and spot
dynamics, such that the diffusion coefficients and jump size parameter are associated with a …
dynamics, such that the diffusion coefficients and jump size parameter are associated with a …
[PDF][PDF] Estimating the Consumer Price Index using the lognormal diffusion process with exogenous factors: The Colombian case
In this paper, a model based on the lognormal diffusion process with exogenous factors was
considered, aiming to describe the dynamics of the basic Consumer Price Index (CPI) in …
considered, aiming to describe the dynamics of the basic Consumer Price Index (CPI) in …
Calibration of European option pricing model using a hybrid structure based on the optimized artificial neural network and Black-Scholes model
F Mehrdoust, M Noorani - Journal of Mathematics and Modeling in …, 2024 - jmmf.atu.ac.ir
This study suggests a novel approach for calibrating European option pricing model by a
hybrid model based on the optimized artificial neural network and Black-Scholes model. In …
hybrid model based on the optimized artificial neural network and Black-Scholes model. In …