MONTE CARLO DERIVATIVE PRICING WITH PARTIAL INFORMATION IN A CLASS OF DOUBLY STOCHASTIC POISSON PROCESSES WITH MARKS

DOI10.1142/S0219024912500185zbMath1241.91129MaRDI QIDQ2892976

Marco Minozzo, Silvia Centanni

Publication date: 25 June 2012

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

nonlinear filteringmarked point processreversible jump Markov chain Monte Carloultra-high frequency dataminimal martingale measurenews arrival

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60)

Related Items (1)

Estimating doubly stochastic Poisson process with affine intensities by Kalman filter

Cites Work

• Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
• Martingales and arbitrage in multiperiod securities markets
• A general version of the fundamental theorem of asset pricing
• From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets
• Risk Minimization with Incomplete Information in a Model for High-Frequency Data
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• Option Pricing with a General Marked Point Process
• A Monte Carlo Approach to Filtering for a Class of Marked Doubly Stochastic Poisson Processes
• Efficient Hedging When Asset Prices Follow A Geometric Poisson Process With Unknown Intensities
• On the minimal martingale measure and the möllmer-schweizer decomposition
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