Optimal importance sampling for the Laplace transform of exponential Brownian functionals (Q3188585): Difference between revisions

@@ Property / OpenAlex ID @@
+W2433655804
@@ Property / OpenAlex ID: W2433655804 / rank @@
+Normal rank
@@ Property / cites work @@
+Functional Analysis, Calculus of Variations and Optimal Control
+Normal rank
@@ Property / cites work @@
+Exponential functionals of Brownian motion and disordered systems
+Normal rank
@@ Property / cites work @@
+Q4391441
@@ Property / cites work: Q4391441 / rank @@
+Normal rank
@@ Property / cites work @@
+The integral of geometric Brownian motion
@@ Property / cites work: The integral of geometric Brownian motion / rank @@
+Normal rank
@@ Property / cites work @@
+An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations
+Normal rank
@@ Property / cites work @@
+Q4433608
@@ Property / cites work: Q4433608 / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotically Optimal Importance Sampling and Stratification for Pricing Path-Dependent Options
+Normal rank
@@ Property / cites work @@
+Optimal importance sampling with explicit formulas in continuous time
+Normal rank
@@ Property / cites work @@
+Q2774021
@@ Property / cites work: Q2774021 / rank @@
+Normal rank
@@ Property / cites work @@
+Spectral Expansions for Asian (Average Price) Options
+Normal rank
@@ Property / cites work @@
+THE DOTHAN PRICING MODEL REVISITED
@@ Property / cites work: THE DOTHAN PRICING MODEL REVISITED / rank @@
+Normal rank
@@ Property / cites work @@
+Monte Carlo computation of the Laplace transform of exponential Brownian functionals
+Normal rank
@@ Property / cites work @@
+Some Asymptotic Formulas for Wiener Integrals
@@ Property / cites work: Some Asymptotic Formulas for Wiener Integrals / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic probabilities and differential equations
+Normal rank