Open AccessEstimating option prices using multilevel particle filters
Author(s) -
Prince Peprah Osei,
Ajay Jasra
Publication year - 2018
Publication title -
big data and information analytics
Language(s) - Uncategorized
Resource type - Journals
eISSN - 2380-6974
pISSN - 2380-6966
DOI - 10.3934/bdia.2018005
Subject(s) - particle filter , monte carlo method , discretization , brownian motion , monte carlo methods for option pricing , mean squared error , mathematical optimization , mathematics , filter (signal processing) , statistical physics , computer science , statistics , physics , mathematical analysis , computer vision