Sequential Monte Carlo pricing of American-style options under stochastic volatility models (Q977632)

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Sequential Monte Carlo pricing of American-style options under stochastic volatility models
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    Sequential Monte Carlo pricing of American-style options under stochastic volatility models (English)
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    23 June 2010
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    optimal stopping
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    dynamic programming
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    arbitrage
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    risk-neutral
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    decision
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    latent volatility
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    volatility risk premium
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    grid
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    sequential
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    Monte Carlo
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    Markov chain Monte Carlo
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