Valuation of barrier options using sequential Monte Carlo
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 | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Optionsgeschäft | Option trading |
-
Static hedging of standard options
Carr, Peter, (2014)
-
Variance Gamma model in hedging vanilla and exotic options
Bollin, Bartłomiej, (2020)
-
Monte Carlo methods for pricing discrete Parisian options
Bernard, Carole, (2011)
- More ...
-
Valuation of Barrier Options Using Sequential Monte Carlo
Shevchenko, Pavel V., (2015)
-
Monte Carlo approximations of American options that preserve monotonicity and convexity
Del Moral, Pierre, (2012)
-
An introduction to particle methods with financial applications
Carmona, René, (2012)
- More ...