Sequential Monte Carlo Methods for Option Pricing
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Publication:3168706
DOI10.1080/07362994.2011.548993zbMath1217.91201arXiv1005.4797OpenAlexW2038064624MaRDI QIDQ3168706
Publication date: 19 April 2011
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1005.4797
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (12)
An Introduction to Particle Methods with Financial Applications ⋮ American Option Valuation with Particle Filters ⋮ Convergence rates of attractive-repulsive MCMC algorithms ⋮ Digital barrier options pricing: an improved Monte Carlo algorithm ⋮ Option pricing under stochastic volatility models with latent volatility ⋮ Some contributions to sequential Monte Carlo methods for option pricing ⋮ Linear variance bounds for particle approximations of time-homogeneous Feynman-Kac formulae ⋮ Control variates and conditional Monte Carlo for basket and Asian options ⋮ An adaptive Monte Carlo algorithm for European and American options ⋮ A note on random walks with absorbing barriers and sequential Monte Carlo methods ⋮ A new hybrid Monte Carlo simulation for Asian options pricing ⋮ Multilevel particle filters for Lévy-driven stochastic differential equations
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