Sequential Monte Carlo pricing of American-style options under stochastic volatility models (Q977632): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Changed an Item
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Q5820981 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3376698 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3376697 / 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: Pricing American-style securities using simulation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Time series: theory and methods. / rank
 
Normal rank
Property / cites work
 
Property / cites work: The pricing of the American option / rank
 
Normal rank
Property / cites work
 
Property / cites work: Maximum likelihood estimation in a class of nonregular cases / 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: An analysis of a least squares regression method for American option pricing / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5631860 / 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: Estimation of stochastic volatility models with diagnostics / 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: Q4433608 / 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: Bayesian analysis of stochastic volatility models with fat-tails and correlated errors / 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: Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Non-Gaussian State-Space Modeling of Nonstationary Time Series / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q2753032 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4004325 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Gaussian particle filtering / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q2753033 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Valuing American Options by Simulation: A Simple Least-Squares Approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4905685 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4350437 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Filtering via Simulation: Auxiliary Particle Filters / 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: Q3683893 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Theory of statistics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3996907 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Non-linear filtering by approximation of the <i>a posteriori</i> density / 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: The Mathematics of Financial Derivatives / rank
 
Normal rank
Property / cites work
 
Property / cites work: On leverage in a stochastic volatility model / rank
 
Normal rank

Latest revision as of 22:15, 2 July 2024

scientific article
Language Label Description Also known as
English
Sequential Monte Carlo pricing of American-style options under stochastic volatility models
scientific article

    Statements

    Sequential Monte Carlo pricing of American-style options under stochastic volatility models (English)
    0 references
    23 June 2010
    0 references
    optimal stopping
    0 references
    dynamic programming
    0 references
    arbitrage
    0 references
    risk-neutral
    0 references
    decision
    0 references
    latent volatility
    0 references
    volatility risk premium
    0 references
    grid
    0 references
    sequential
    0 references
    Monte Carlo
    0 references
    Markov chain Monte Carlo
    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
    0 references
    0 references
    0 references

    Identifiers

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