Sequential Monte Carlo pricing of American-style options under stochastic volatility models

DOI10.1214/09-AOAS286zbMath1189.62164arXiv1010.1372MaRDI QIDQ977632

Anthony E. Brockwell, Bhojnarine R. Rambharat

Publication date: 23 June 2010

Published in: The Annals of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1010.1372

zbMATH Keywords

decision; dynamic programming; Monte Carlo; optimal stopping; Markov chain Monte Carlo; arbitrage; grid; sequential; volatility risk premium; latent volatility; risk-neutral

Mathematics Subject Classification ID

62-08: Computational methods for problems pertaining to statistics

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods

65C40: Numerical analysis or methods applied to Markov chains

62L15: Optimal stopping in statistics

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