Service interruption on Monday 11 July from 12:30 to 13:00: all the sites of the CCSD (HAL, EpiSciences, SciencesConf, AureHAL) will be inaccessible (network hardware connection).
Skip to Main content Skip to Navigation
Preprints, Working Papers, ...

Optimal Transport Filtering with Particle Reweighing in Finance

Abstract : We propose an optimal transportation approach to price European options under the Stein-Stein stochastic volatility model by using the flow that optimally transports the set of particles from the prior to a posterior distribution. We also show how to direct the flow to a rarely visited areas of the state space by using a particle method (a mutation and a reweighing mechanism). We demonstrate the efficiency of our approach on a simple example for which a closed form formula is available. This method shows lower variance and bias compared to other filtering schemes recently developed in the signal-processing literature, including particle filter techniques.
Complete list of metadata

Cited literature [15 references]  Display  Hide  Download

https://hal.archives-ouvertes.fr/hal-01581903
Contributor : Shohruh Miryusupov Connect in order to contact the contributor
Submitted on : Tuesday, September 5, 2017 - 12:01:26 PM
Last modification on : Friday, April 29, 2022 - 10:12:43 AM

Files

PFPF1.pdf
Files produced by the author(s)

Identifiers

  • HAL Id : hal-01581903, version 1
  • ARXIV : 1704.07698

Collections

Citation

Raphaël Douady, Shohruh Miryusupov. Optimal Transport Filtering with Particle Reweighing in Finance. 2017. ⟨hal-01581903⟩

Share

Metrics

Record views

103

Files downloads

149