American Option Valuation with Particle Filters

DOI10.1007/978-3-642-25746-9_2zbMath1252.91082OpenAlexW1505336188MaRDI QIDQ2917425

Bhojnarine R. Rambharat

Publication date: 28 September 2012

Published in: Springer Proceedings in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-25746-9_2

zbMATH Keywords

optimizationMonte Carlooptimal stoppingAmerican optionsvolatilityparticle filterrisk premiumposterior inferencelatent stochastic process

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Bayesian inference (62F15) Derivative securities (option pricing, hedging, etc.) (91G20) Optimal stopping in statistics (62L15)

Related Items (1)

Pricing Surrender Risk in Ratchet Equity-Index Annuities under Regime-Switching Lévy Processes

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