Sequential Monte Carlo methods for stochastic volatility models: a review

被引：1

作者：

Bishwal, Jaya P. N. ^{[1
]}

机构：

[1] Univ North Carolina Charlotte, Dept Math & Stat, 9201 Univ City Blvd, Charlotte, NC 28223 USA

来源：

JOURNAL OF INTERDISCIPLINARY MATHEMATICS | 2010年 / 13卷 / 06期

关键词：

Sequential Monte Carlo methods; particle filter; stochastic volatility model; option pricing; estimation;

D O I：

10.1080/09720502.2010.10700723

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

We review the Sequential Monte Carlo (SMC) methods, also known as particle filters, for estimation and pricing in stochastic volatility models with general noises.

引用

页码：619 / 635

页数：17

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