Sequential Monte Carlo methods for stochastic volatility models: a review

DOI10.1080/09720502.2010.10700723MaRDI QIDQ3008580zbMATH OpenOpenAlexFDO

Authors Jaya P. N. Bishwal

Publication date 22 June 2011

Published in Journal of Interdisciplinary Mathematics (Search for Journal in Brave)

Full work available at URL http://www.connectjournals.com/file_html_pdf/901206H_jim363_619-635a.pdf

zbMATH Keywords

estimationoption pricingparticle filtersequential Monte Carlo methodsstochastic volatility model

Mathematics Subject Classification ID

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

Cites work

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Cited in

(2)

• Simulation-based sequential analysis of Markov switching stochastic volatility models
• Comparison of MCMC methods for estimating stochastic volatility models

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