Sequential Monte Carlo methods for stochastic volatility models: a review

DOI10.1080/09720502.2010.10700723zbMath1231.91472OpenAlexW2320514067MaRDI QIDQ3008580

Jaya P. N. Bishwal

Publication date: 22 June 2011

Published in: Journal of Interdisciplinary Mathematics (Search for Journal in Brave)

Full work available at URL: http://www.connectjournals.com/file_html_pdf/901206H_jim363_619-635a.pdf

zbMATH Keywords

estimationoption pricingparticle filtersequential Monte Carlo methodsstochastic volatility model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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