Asymptotically Optimal Importance Sampling and Stratification for Pricing Path-Dependent Options (Q2757298): Difference between revisions
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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)
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26 November 2001
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Monte Carlo methods
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variance reduction
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large deviations
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Laplace principle
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