
Big Data and Information Analytics, 2018, 3(2): 2440. doi: 10.3934/bdia.2018005.
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Estimating option prices using multilevel particle filters
Department of Statistics and Applied Probability, National University of Singapore, 117546, Singapore
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Keywords: option pricing; barrier options; Multilevel Monte Carlo; particle filters; multilevel particle filters
Citation: Prince Peprah Osei, Ajay Jasra. Estimating option prices using multilevel particle filters. Big Data and Information Analytics, 2018, 3(2): 2440. doi: 10.3934/bdia.2018005
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