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

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Latest revision as of 18:14, 5 July 2024

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