American Option Valuation with Particle Filters (Q2917425)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | American Option Valuation with Particle Filters |
scientific article |
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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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