Some Contributions to Sequential Monte Carlo Methods for Option Pricing

11 Aug 2016 Sen Deborshee Jasra Ajay Zhou Yan

Pricing options is an important problem in financial engineering. In many scenarios of practical interest, financial option prices associated to an underlying asset reduces to computing an expectation w.r.t.~a diffusion process... (read more)

PDF Abstract
No code implementations yet. Submit your code now

Categories


  • COMPUTATION
  • COMPUTATIONAL FINANCE
  • PRICING OF SECURITIES

Datasets


  Add Datasets introduced or used in this paper