Sample path large deviations and optimal importance sampling for stochastic volatility models (Q2654160): Difference between revisions

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Latest revision as of 08:45, 2 July 2024

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Sample path large deviations and optimal importance sampling for stochastic volatility models
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    Sample path large deviations and optimal importance sampling for stochastic volatility models (English)
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    15 January 2010
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    importance sampling
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    large deviations
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    Monte Carlo methods
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    stochastic volatility
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    variance reduction
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