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

DOI10.1214/09-AOAS286zbMath1189.62164arXiv1010.1372MaRDI QIDQ977632

Anthony E. Brockwell, Bhojnarine R. Rambharat

Publication date: 23 June 2010

Published in: The Annals of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1010.1372

zbMATH Keywords

decisiondynamic programmingMonte Carlooptimal stoppingMarkov chain Monte Carloarbitragegridsequentialvolatility risk premiumlatent volatilityrisk-neutral

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Optimal stopping in statistics (62L15)

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