Monte Carlo derivative pricing with partial information in a class of doubly stochastic Poisson processes with marks (Q2892976)
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scientific article; zbMATH DE number 6049603
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| default for all languages | No label defined |
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| English | Monte Carlo derivative pricing with partial information in a class of doubly stochastic Poisson processes with marks |
scientific article; zbMATH DE number 6049603 |
Statements
25 June 2012
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minimal martingale measure
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news arrival
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marked point process
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nonlinear filtering
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reversible jump Markov chain Monte Carlo
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ultra-high frequency data
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Monte Carlo derivative pricing with partial information in a class of doubly stochastic Poisson processes with marks (English)
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0.8091456294059753
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0.7873744964599609
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0.765812337398529
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0.7625807523727417
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0.7565739750862122
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