Some contributions to sequential Monte Carlo methods for option pricing (Q5106815): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2513924667
@@ Property / OpenAlex ID: W2513924667 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.03352
@@ Property / arXiv ID: 1608.03352 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4433608
@@ Property / cites work: Q4433608 / rank @@
+Normal rank
@@ Property / cites work @@
+Sequential Monte Carlo Methods for Option Pricing
@@ Property / cites work: Sequential Monte Carlo Methods for Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Sequential Monte Carlo methods for diffusion processes
+Normal rank
@@ Property / cites work @@
+Q3015761
@@ Property / cites work: Q3015761 / rank @@
+Normal rank
@@ Property / cites work @@
+A general theory of particle filters in hidden Markov models and some applications
+Normal rank
@@ Property / cites work @@
+Q4819702
@@ Property / cites work: Q4819702 / rank @@
+Normal rank
@@ Property / cites work @@
+Mean Field Simulation for Monte Carlo Integration
@@ Property / cites work: Mean Field Simulation for Monte Carlo Integration / rank @@
+Normal rank
@@ Property / cites work @@
+Limit theorems for weighted samples with applications to sequential Monte Carlo methods
+Normal rank
@@ Property / cites work @@
+On the stability of sequential Monte Carlo methods in high dimensions
+Normal rank
@@ Property / cites work @@
+Genealogical particle analysis of rare events
@@ Property / cites work: Genealogical particle analysis of rare events / rank @@
+Normal rank
@@ Property / cites work @@
+Sequential Monte Carlo with Highly Informative Observations
+Normal rank
@@ Property / cites work @@
+Multilevel Monte Carlo Path Simulation
@@ Property / cites work: Multilevel Monte Carlo Path Simulation / rank @@
+Normal rank
@@ Property / cites work @@
+Sequential Monte Carlo Samplers
@@ Property / cites work: Sequential Monte Carlo Samplers / rank @@
+Normal rank
@@ Property / cites work @@
+Conditioning on One-Step Survival for Barrier Option Simulations
+Normal rank
@@ Property / cites work @@
+A stable particle filter for a class of high-dimensional state-space models
+Normal rank