American Option Valuation with Particle Filters (Q2917425): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
links / mardi / name | links / mardi / name | ||
Revision as of 21:12, 3 February 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