Sequential Monte Carlo Methods for Option Pricing

26 May 2010

Papers citing "Sequential Monte Carlo Methods for Option Pricing"

5 / 5 papers shown

Title
On adaptive resampling strategies for sequential Monte Carlo methods P. Del Moral Arnaud Doucet Ajay Jasra 66 181 0 02 Mar 2012
Forward Smoothing using Sequential Monte Carlo P. Del Moral Arnaud Doucet Sumeetpal S. Singh 92 85 0 24 Dec 2010
A Backward Particle Interpretation of Feynman-Kac Formulae P. Del Moral Arnaud Doucet Sumeetpal S. Singh 111 73 0 18 Aug 2009
On the utility of graphics cards to perform massively parallel simulation of advanced Monte Carlo methods Anthony Lee C. Yau M. Giles Arnaud Doucet Christopher C. Holmes 95 322 0 14 May 2009
Particle Filters for Partially Observed Diffusions Paul Fearnhead O. Papaspiliopoulos Gareth O. Roberts 236 165 0 23 Oct 2007