Sequential Monte Carlo pricing of American-style options under stochastic volatility models (Q977632)
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scientific article; zbMATH DE number 5724805
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| English | Sequential Monte Carlo pricing of American-style options under stochastic volatility models |
scientific article; zbMATH DE number 5724805 |
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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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0.8533318638801575
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0.8415594100952148
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0.8151028156280518
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0.8012297749519348
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0.7989363074302673
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