Sequential Monte Carlo pricing of American-style options under stochastic volatility models
DOI10.1214/09-AOAS286zbMath1189.62164arXiv1010.1372MaRDI QIDQ977632
Bhojnarine R. Rambharat, Anthony E. Brockwell
Publication date: 23 June 2010
Published in: The Annals of Applied Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1010.1372
decision; dynamic programming; Monte Carlo; optimal stopping; Markov chain Monte Carlo; arbitrage; grid; sequential; volatility risk premium; latent volatility; risk-neutral
62-08: Computational methods for problems pertaining to statistics
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G60: Numerical methods (including Monte Carlo methods)
65C05: Monte Carlo methods
65C40: Numerical analysis or methods applied to Markov chains
62L15: Optimal stopping in statistics
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