Monte Carlo derivative pricing with partial information in a class of doubly stochastic poisson processes with marks
Silvia Centanni and Marco Minozzo
| Year of publication: |
2012
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|---|---|
| Authors: | Centanni, Silvia ; Minozzo, Marco |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 15.2012, 3, p. 1-22
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| Subject: | Minimal martingale measure | news arrival | marked point process | nonlinear filtering | reversible jump Markov chain Monte Carlo | ultra-high frequency data | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Martingal | Martingale |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009624500