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

decisiondynamic programmingMonte Carlooptimal stoppingMarkov chain Monte Carloarbitragegridsequentialvolatility risk premiumlatent volatilityrisk-neutral

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Optimal stopping in statistics (62L15)

Related Items (15)

Sequential Monte Carlo Methods for Option Pricing ⋮ American Option Valuation with Particle Filters ⋮ A unified approach to Bermudan and barrier options under stochastic volatility models with jumps ⋮ Sequential Design for Optimal Stopping Problems ⋮ Option pricing under stochastic volatility models with latent volatility ⋮ An improved least squares Monte Carlo valuation method based on heteroscedasticity ⋮ Mixing LSMC and PDE Methods to Price Bermudan Options ⋮ Bayesian analysis of spherically parameterized dynamic multivariate stochastic volatility models ⋮ Discrete-type approximations for non-Markovian optimal stopping problems. II ⋮ Sequential Monte Carlo pricing of American-style options under stochastic volatility models ⋮ Calibration of the double Heston model and an analytical formula in pricing American put option ⋮ Discrete-type approximations for non-Markovian optimal stopping problems: Part I ⋮ American option pricing under the double Heston model based on asymptotic expansion ⋮ American options under stochastic volatility: control variates, maturity randomization & multiscale asymptotics ⋮ Asymptotic expansion method for pricing and hedging American options with two-factor stochastic volatilities and stochastic interest rate

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