Sequential Monte Carlo Methods for Option Pricing (Q3168706): Difference between revisions

@@ Property / cites work @@
+Pricing General Barrier Options: A Numerical Approach Using Sharp Large Deviations
+Normal rank
@@ Property / cites work @@
+Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
+Normal rank
@@ Property / cites work @@
+Derivative-free Greeks for the Barndorff-Nielsen and Shephard stochastic volatility model
+Normal rank
@@ Property / cites work @@
+Monte Carlo Evaluation of Greeks for Multidimensional Barrier and Lookback Options
+Normal rank
@@ Property / cites work @@
+Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
+Normal rank
@@ Property / cites work @@
+A Continuity Correction for Discrete Barrier Options
+Normal rank
@@ Property / cites work @@
+Estimating Security Price Derivatives Using Simulation
+Normal rank
@@ Property / cites work @@
+A nonasymptotic theorem for unnormalized Feynman-Kac particle models
+Normal rank
@@ Property / cites work @@
+Stopping-Time Resampling for Sequential Monte Carlo Methods
+Normal rank
@@ Property / cites work @@
+Central limit theorem for sequential Monte Carlo methods and its application to Bayesian inference
+Normal rank
@@ Property / cites work @@
+A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
+Normal rank
@@ Property / cites work @@
+On adaptive resampling strategies for sequential Monte Carlo methods
+Normal rank
@@ Property / cites work @@
+Sequential Monte Carlo Samplers
@@ Property / cites work: Sequential Monte Carlo Samplers / rank @@
+Normal rank
@@ Property / cites work @@
+A backward particle interpretation of Feynman-Kac formulae
+Normal rank
@@ Property / cites work @@
+Monte Carlo methods for derivatives of options with discontinuous payoffs
+Normal rank
@@ Property / cites work @@
+Sequential Monte Carlo Methods in Practice
@@ Property / cites work: Sequential Monte Carlo Methods in Practice / rank @@
+Normal rank
@@ Property / cites work @@
+On adaptive stratification
@@ Property / cites work: On adaptive stratification / rank @@
+Normal rank
@@ Property / cites work @@
+Particle Filters for Partially Observed Diffusions
+Normal rank
@@ Property / cites work @@
+Stochastic Volatility: Option Pricing using a Multinomial Recombining Tree
+Normal rank
@@ Property / cites work @@
+Applications of Malliavin calculus to Monte-Carlo methods in finance. II
+Normal rank
@@ Property / cites work @@
+Simulating normalizing constants: From importance sampling to bridge sampling to path sampling
+Normal rank
@@ Property / cites work @@
+Q4433608
@@ Property / cites work: Q4433608 / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotically Optimal Importance Sampling and Stratification for Pricing Path-Dependent Options
+Normal rank
@@ Property / cites work @@
+Conditioning on One-Step Survival for Barrier Option Simulations
+Normal rank
@@ Property / cites work @@
+Sensitivity estimates for portfolio credit derivatives using Monte Carlo
+Normal rank
@@ Property / cites work @@
+Importance Sampling for Stochastic Simulations
@@ Property / cites work: Importance Sampling for Stochastic Simulations / rank @@
+Normal rank
@@ Property / cites work @@
+Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility
+Normal rank
@@ Property / cites work @@
+Sequential Monte Carlo methods for diffusion processes
+Normal rank
@@ Property / cites work @@
+Exact retrospective Monte Carlo computation of arithmetic average Asian options
+Normal rank
@@ Property / cites work @@
+Sequential Imputations and Bayesian Missing Data Problems
+Normal rank
@@ Property / cites work @@
+Note: On the Interchange of Derivative and Expectation for Likelihood Ratio Derivative Estimators
+Normal rank
@@ Property / cites work @@
+Monte Carlo strategies in scientific computing
@@ Property / cites work: Monte Carlo strategies in scientific computing / rank @@
+Normal rank
@@ Property / cites work @@
+Sequential Monte Carlo smoothing with application to parameter estimation in nonlinear state space models
+Normal rank
@@ Property / cites work @@
+Filtering via Simulation: Auxiliary Particle Filters
+Normal rank
@@ Property / cites work @@
+Particle approximations of the score and observed information matrix in state space models with application to parameter estimation
+Normal rank
@@ Property / cites work @@
+Sequential Monte Carlo pricing of American-style options under stochastic volatility models
+Normal rank
@@ Property / cites work @@
+Q4828566
@@ Property / cites work: Q4828566 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4828558
@@ Property / cites work: Q4828558 / rank @@
+Normal rank