We propose an optimal transportation aproach to price European options under the Stein-Stein stochastic volatility model by using the flow that transports the set of particles from prior to the posterior distribution. We also propose to direct the flow to a rarely corners of the state space by using a mutation and reweighing algorithm. We demonstrate the efficiency of our approach on a simple example for which the closed form formula is available. This methods shows the advantage of having low variance and bias and contrasts to other filtering schemes recently developed in signal-processing literature, including particle filter technique. 查看全文>>