Sequential Monte Carlo methods for option pricing

Stochastic Analysis and Applications

Volumn 29, Issue 2, 2011, Pages 292-316

  Jasra, Ajay ^a   del Moral, Pierre ^b  

^a IMPERIAL COLLEGE LONDON   (United Kingdom)

^b INRIA   (France)

Author keywords

Option pricing; Sensitivities; Sequential Monte Carlo

Indexed keywords

EID: 79951912378     PISSN: 07362994     EISSN: 15329356     Source Type: Journal    
DOI: 10.1080/07362994.2011.548993     Document Type: Review

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