American Option Valuation with Particle Filters (Q2917425): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Q5820981 / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Pricing of Options and Corporate Liabilities / rank
 
Normal rank
Property / cites work
 
Property / cites work: American options with stochastic dividends and volatility: a nonparametric investigation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing American-style securities using simulation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Valuation of the early-exercise price for options using simulations and nonparametric regression / rank
 
Normal rank
Property / cites work
 
Property / cites work: Particle learning and smoothing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Central limit theorem for sequential Monte Carlo methods and its application to Bayesian inference / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multigrid for American option pricing with stochastic volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Theory of the Term Structure of Interest Rates / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5631860 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing American Options Fitting the Smile / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Valuation of Volatility Options / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Valuation of American Options for a Class of Diffusion Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Sequential Monte Carlo Methods in Practice / rank
 
Normal rank
Property / cites work
 
Property / cites work: American stochastic volatility call option pricing: a lattice based approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4509488 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q2753042 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4433608 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Martingales and stochastic integrals in the theory of continuous trading / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options / rank
 
Normal rank
Property / cites work
 
Property / cites work: Complete Models with Stochastic Volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bayesian analysis of stochastic volatility models with fat-tails and correlated errors / rank
 
Normal rank
Property / cites work
 
Property / cites work: Sequential Monte Carlo Methods for Option Pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4839745 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4002114 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4368791 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q2753032 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q2753033 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A simulation approach to optimal stopping under partial information / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4225536 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A convenient way to characterize equivalent martingale measures in incomplete markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4350437 / rank
 
Normal rank
Property / cites work
 
Property / cites work: The pricing of the American option / rank
 
Normal rank
Property / cites work
 
Property / cites work: Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Filtering via Simulation: Auxiliary Particle Filters / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q2753037 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Sequential Monte Carlo pricing of American-style options under stochastic volatility models / rank
 
Normal rank
Property / cites work
 
Property / cites work: OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL / rank
 
Normal rank
Property / cites work
 
Property / cites work: Monte Carlo valuation of American options / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fast simulated annealing in \(\mathbb R^d\) with an application to maximum likelihood estimation in state-space models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stock Price Distributions with Stochastic Volatility: An Analytic Approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: American options exercise boundary when the volatility changes randomly / rank
 
Normal rank
Property / cites work
 
Property / cites work: Sequential decision processes with essential unobservables / rank
 
Normal rank
Property / cites work
 
Property / cites work: On leverage in a stochastic volatility model / rank
 
Normal rank

Latest revision as of 17:14, 5 July 2024

scientific article
Language Label Description Also known as
English
American Option Valuation with Particle Filters
scientific article

    Statements

    American Option Valuation with Particle Filters (English)
    0 references
    28 September 2012
    0 references
    American options
    0 references
    latent stochastic process
    0 references
    Monte Carlo
    0 references
    optimal stopping
    0 references
    optimization
    0 references
    particle filter
    0 references
    posterior inference
    0 references
    risk premium
    0 references
    volatility
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references