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Sequential Monte Carlo Methods for Option Pricing (Q3168706)

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Language	Label	Description	Also known as
English	Sequential Monte Carlo Methods for Option Pricing	scientific article

Statements

scholarly article

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Sequential Monte Carlo Methods for Option Pricing (English)

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Pierre Del Moral

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Stochastic Analysis and Applications

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publication date

19 April 2011

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full work available at URL

https://arxiv.org/abs/1005.4797

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zbMATH Keywords

sensitivities

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sequential Monte Carlo methods

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option pricing

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complex stochastic volatility

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MaRDI profile type

MaRDI publication profile

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Pricing General Barrier Options: A Numerical Approach Using Sharp Large Deviations

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A nonasymptotic theorem for unnormalized Feynman-Kac particle models

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Stopping-Time Resampling for Sequential Monte Carlo Methods

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Central limit theorem for sequential Monte Carlo methods and its application to Bayesian inference

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A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models

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On adaptive resampling strategies for sequential Monte Carlo methods

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Sequential Monte Carlo Samplers

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A backward particle interpretation of Feynman-Kac formulae

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Monte Carlo methods for derivatives of options with discontinuous payoffs

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On adaptive stratification

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Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree

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Applications of Malliavin calculus to Monte-Carlo methods in finance. II

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Asymptotically Optimal Importance Sampling and Stratification for Pricing Path-Dependent Options

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Conditioning on One-Step Survival for Barrier Option Simulations

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Sensitivity estimates for portfolio credit derivatives using Monte Carlo

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Importance Sampling for Stochastic Simulations

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Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility

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Sequential Monte Carlo methods for diffusion processes

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Exact retrospective Monte Carlo computation of arithmetic average Asian options

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Sequential Imputations and Bayesian Missing Data Problems

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Note: On the Interchange of Derivative and Expectation for Likelihood Ratio Derivative Estimators

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Monte Carlo strategies in scientific computing

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Sequential Monte Carlo smoothing with application to parameter estimation in nonlinear state space models

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Filtering via Simulation: Auxiliary Particle Filters

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Particle approximations of the score and observed information matrix in state space models with application to parameter estimation

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Sequential Monte Carlo pricing of American-style options under stochastic volatility models

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Identifiers

zbMATH Open document ID

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10.1080/07362994.2011.548993

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

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