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Some contributions to sequential Monte Carlo methods for option pricing

  • Published:2016-08-29 Issue:4 Volume:87 Page:733-752
  • ISSN:0094-9655
  • Container-title:Journal of Statistical Computation and Simulation
  • language:en
  • Short-container-title:Journal of Statistical Computation and Simulation

Author:

Sen Deborshee,Jasra Ajay,Zhou Yan

Funder

Singapore Ministry of Education

Singapore Ministry of Education Academic Research Fund Tier 1

Publisher

Informa UK Limited

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Modelling and Simulation,Statistics and Probability

Cited by 6 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Improved likelihood estimation for noisy gamma degradation processes via sequential Monte Carlo;Communications in Statistics - Simulation and Computation;2024-06-06

2. A Novel Particle Filter Based on One-Step Smoothing for Nonlinear System with Missing Measurements;2024 3rd Conference on Fully Actuated System Theory and Applications (FASTA);2024-05-10

3. Option pricing under stochastic volatility models with latent volatility;Quantitative Finance;2023-06-13

4. A bibliometric analysis on financial engineering studies;International Journal of Financial Engineering;2023-02-23

5. Second-order extended particle filter with exponential family observation model;Journal of Statistical Computation and Simulation;2020-05-20
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