Sequential Monte Carlo Methods for Option Pricing (Q3168706)

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Sequential Monte Carlo Methods for Option Pricing
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    Statements

    title
    Sequential Monte Carlo Methods for Option Pricing (English)
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    author
    Ajay Jasra
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    Pierre Del Moral
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    publication date
    19 April 2011
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    zbMATH Keywords
    sensitivities
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    sequential Monte Carlo methods
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    option pricing
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    complex stochastic volatility
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    Identifiers

    Mathematics Subject Classification ID
    91G60
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    91G20
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    65C05
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    91-02
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    zbMATH DE Number
    5879794
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    OpenAlex ID
    W2038064624
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    arXiv ID
    1005.4797
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