Efficient simulation of tail probabilities of sums of correlated lognormals (Q666348)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient simulation of tail probabilities of sums of correlated lognormals |
scientific article |
Statements
Efficient simulation of tail probabilities of sums of correlated lognormals (English)
0 references
8 March 2012
0 references
Black-Scholes model
0 references
correlated lognormals
0 references
importance sampling
0 references
cross-entropy method
0 references
efficiency
0 references
rare-event simulation
0 references
vanishing relative error
0 references
0 references
0 references
