Some contributions to sequential Monte Carlo methods for option pricing

DOI10.1080/00949655.2016.1224238zbMath1461.91357arXiv1608.03352OpenAlexW2513924667MaRDI QIDQ5106815

Ajay Jasra, Deborshee Sen, Yan Zhou

Publication date: 22 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1608.03352

zbMATH Keywords

option pricingdiffusionssequential Monte Carlo

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Second-order extended particle filter with exponential family observation model, Option pricing under stochastic volatility models with latent volatility

Cites Work

• Limit theorems for weighted samples with applications to sequential Monte Carlo methods
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