Sample path large deviations and optimal importance sampling for stochastic volatility models (Q2654160): Difference between revisions
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Revision as of 07:59, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Sample path large deviations and optimal importance sampling for stochastic volatility models |
scientific article |
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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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