Sequential Monte Carlo Methods for Option Pricing (Q3168706): Difference between revisions

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+.4797
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+Pricing General Barrier Options: A Numerical Approach Using Sharp Large Deviations
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+Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
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+Derivative-free Greeks for the Barndorff-Nielsen and Shephard stochastic volatility model
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+Monte Carlo Evaluation of Greeks for Multidimensional Barrier and Lookback Options
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+Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
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+A Continuity Correction for Discrete Barrier Options
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+Estimating Security Price Derivatives Using Simulation
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+A nonasymptotic theorem for unnormalized Feynman-Kac particle models
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+Stopping-Time Resampling for Sequential Monte Carlo Methods
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+Central limit theorem for sequential Monte Carlo methods and its application to Bayesian inference
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+A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
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+On adaptive resampling strategies for sequential Monte Carlo methods
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+Sequential Monte Carlo Samplers
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+A backward particle interpretation of Feynman-Kac formulae
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+Monte Carlo methods for derivatives of options with discontinuous payoffs
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+Sequential Monte Carlo Methods in Practice
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+On adaptive stratification
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+Particle Filters for Partially Observed Diffusions
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+Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree
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+Applications of Malliavin calculus to Monte-Carlo methods in finance. II
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+Simulating normalizing constants: From importance sampling to bridge sampling to path sampling
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+Q4433608
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+Asymptotically Optimal Importance Sampling and Stratification for Pricing Path-Dependent Options
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+Conditioning on One-Step Survival for Barrier Option Simulations
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+Sensitivity estimates for portfolio credit derivatives using Monte Carlo
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+Importance Sampling for Stochastic Simulations
@@ Property / cites work: Importance Sampling for Stochastic Simulations / rank @@
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+Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility
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+Sequential Monte Carlo methods for diffusion processes
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+Exact retrospective Monte Carlo computation of arithmetic average Asian options
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+Sequential Imputations and Bayesian Missing Data Problems
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+Note: On the Interchange of Derivative and Expectation for Likelihood Ratio Derivative Estimators
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+Monte Carlo strategies in scientific computing
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+Sequential Monte Carlo smoothing with application to parameter estimation in nonlinear state space models
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+Filtering via Simulation: Auxiliary Particle Filters
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+Particle approximations of the score and observed information matrix in state space models with application to parameter estimation
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+Sequential Monte Carlo pricing of American-style options under stochastic volatility models
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+Q4828566
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+Q4828558
@@ Property / cites work: Q4828558 / rank @@
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