Valuation of barrier options using sequential Monte Carlo
Pavel V. Shevchenko and Pierre Del Moral
| Year of publication: |
April 2017
|
|---|---|
| Authors: | Shevchenko, Pavel V. ; Del Moral, Pierre |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 20.2016/2017, 4, p. 107-135
|
| Subject: | sequential Monte Carlo (SMC) | particle methods | Feynman-Kac representation | barrier options | Monte Carlo | option pricing | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Black-Scholes-Modell | Black-Scholes model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2016.324 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011691638