Sequential Monte Carlo pricing of American-style options under stochastic volatility models
Publication:977632
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
decision; dynamic programming; Monte Carlo; optimal stopping; Markov chain Monte Carlo; arbitrage; grid; sequential; volatility risk premium; latent volatility; risk-neutral
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
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- On leverage in a stochastic volatility model
- American stochastic volatility call option pricing: a lattice based approach
- Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
- Sequential Monte Carlo pricing of American-style options under stochastic volatility models
- The pricing of the American option
- Time series: theory and methods.
- Estimation of stochastic volatility models with diagnostics
- Pricing American-style securities using simulation
- An analysis of a least squares regression method for American option pricing
- Theory of statistics
- American options with stochastic dividends and volatility: a nonparametric investigation
- Sequential Monte Carlo Methods in Practice
- Maximum likelihood estimation in a class of nonregular cases
- Non-Gaussian State-Space Modeling of Nonstationary Time Series
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
- Filtering via Simulation: Auxiliary Particle Filters
- Multigrid for American option pricing with stochastic volatility
- Monte Carlo valuation of American options
- The Mathematics of Financial Derivatives
- Gaussian particle filtering
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Valuing American Options by Simulation: A Simple Least-Squares Approach
- Stock Price Distributions with Stochastic Volatility: An Analytic Approach
- Non-linear filtering by approximation of the a posteriori density