American Option Valuation with Particle Filters

DOI10.1007/978-3-642-25746-9_2MaRDI QIDQ2917425zbMATH OpenOpenAlexFDO

Authors Bhojnarine R. Rambharat

Publication date 28 September 2012

Published in Springer Proceedings in Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-25746-9_2

zbMATH Keywords

optimizationMonte Carloparticle filtervolatilityoptimal stoppingAmerican optionsrisk premiumposterior inferencelatent stochastic process

Mathematics Subject Classification ID

Bayesian inference (62F15) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Optimal stopping in statistics (62L15)

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Cited in

(4)

• Sequential Monte Carlo pricing of American-style options under stochastic volatility models
• The role of additional information in option pricing: estimation issues for the state space model
• Sequential calibration of options
• Pricing surrender risk in Ratchet equity-index annuities under regime-switching Lévy processes

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