Sequential Monte Carlo pricing of American-style options...

The Annals of Applied Statistics 2010 / 03 Vol. 4; Iss. 1

Sequential Monte Carlo pricing of American-style options under stochastic volatility models

Rambharat, Bhojnarine R., Brockwell, Anthony E.
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Volume:
4
Language:
english
Journal:
The Annals of Applied Statistics
DOI:
10.1214/09-AOAS286
Date:
March, 2010
File:
PDF, 522 KB
english, 2010
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