MONTE CARLO DERIVATIVE PRICING WITH PARTIAL INFORMATION IN A CLASS OF DOUBLY STOCHASTIC POISSON PROCESSES WITH MARKS (Q2892976)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | MONTE CARLO DERIVATIVE PRICING WITH PARTIAL INFORMATION IN A CLASS OF DOUBLY STOCHASTIC POISSON PROCESSES WITH MARKS |
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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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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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