Sequential Monte Carlo Methods for Option Pricing
From MaRDI portal
Publication:3168706
DOI10.1080/07362994.2011.548993zbMath1217.91201arXiv1005.4797MaRDI QIDQ3168706
Publication date: 19 April 2011
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1005.4797
91G60: Numerical methods (including Monte Carlo methods)
65C05: Monte Carlo methods
91-02: Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance
91G20: Derivative securities (option pricing, hedging, etc.)
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Linear variance bounds for particle approximations of time-homogeneous Feynman-Kac formulae, Control variates and conditional Monte Carlo for basket and Asian options, An Introduction to Particle Methods with Financial Applications, American Option Valuation with Particle Filters
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