Sequential Monte Carlo pricing of American-style options under stochastic volatility models (Q977632): Difference between revisions
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Revision as of 18:16, 18 April 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Sequential Monte Carlo pricing of American-style options under stochastic volatility models |
scientific article |
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Sequential Monte Carlo pricing of American-style options under stochastic volatility models (English)
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23 June 2010
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optimal stopping
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dynamic programming
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arbitrage
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risk-neutral
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decision
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latent volatility
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volatility risk premium
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grid
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sequential
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Monte Carlo
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Markov chain Monte Carlo
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