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Sequential Monte Carlo methods for option pricing
Ajay Jasra, Pierre del Moral
Research output
:
Contribution to journal
›
Article
›
peer-review
17
Scopus citations
Overview
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Dive into the research topics of 'Sequential Monte Carlo methods for option pricing'. Together they form a unique fingerprint.
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Mathematics
Option Pricing
100%
Monte Carlo
100%
Probability Measure
12%
American Option
12%
Wide Class
12%
Stochastic Volatility Model
12%
Approximates
12%
Number
12%
Economics, Econometrics and Finance
Monte Carlo Simulation
100%
Pricing
100%
Option Trading
20%
Volatility
20%
Operations Research
20%
Social Sciences
Pricing
100%
Stochastics
20%
Volatility
20%
Keyphrases
Engineering Statistics
14%
Arithmetic Asian Options
14%
Engineering Operations
14%
Physics Research
14%
Up-to-date Review
14%
Addition Strategy
14%
Operations Research
14%