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

5 citations · 5 across the 1 of their papers we have counts for

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1 paper

q-fin.CP2010★ 5 cited

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

Bhojnarine R. Rambharat, Anthony E. Brockwell

We introduce a new method to price American-style options on underlying investments governed by stochastic volatility (SV) models. The method does not require the volatility proces…