Asymptotically Optimal Importance Sampling and Stratification for Pricing Path-Dependent Options (Q2757298): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set OpenAlex properties. |
||
| (One intermediate revision by one other user not shown) | |||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1111/1467-9965.00065 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2097511294 / rank | |||
Normal rank | |||
Latest revision as of 01:38, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotically Optimal Importance Sampling and Stratification for Pricing Path-Dependent Options |
scientific article |
Statements
Asymptotically Optimal Importance Sampling and Stratification for Pricing Path-Dependent Options (English)
0 references
26 November 2001
0 references
Monte Carlo methods
0 references
variance reduction
0 references
large deviations
0 references
Laplace principle
0 references
