Valuation of barrier options using sequential Monte Carlo

Pavel Shevchenko 1 Pierre Del Moral 2
1 CSIRO - Commonwealth Scientific and Industrial Research Organisation [Canberra]
2 CQFD - Quality control and dynamic reliability
IMB - Institut de Mathématiques de Bordeaux, Inria Bordeaux - Sud-Ouest
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Journal articles
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https://hal.inria.fr/hal-01669199
Contributor : Pierre Del Moral <>
Submitted on : Wednesday, December 20, 2017 - 4:10:24 PM
Last modification on : Thursday, January 11, 2018 - 5:22:02 PM

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Pavel Shevchenko, Pierre Del Moral. Valuation of barrier options using sequential Monte Carlo. The Journal of Computational Finance, Incisive Media, 2016, ⟨10.21314/JCF.2016.324⟩. ⟨hal-01669199⟩

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