Optimal importance sampling with explicit formulas in continuous time
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Publication:928493
DOI10.1007/S00780-007-0053-5zbMath1150.91019OpenAlexW2017986621MaRDI QIDQ928493
Paolo Guasoni, Scott Robertson
Publication date: 18 June 2008
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-007-0053-5
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Large deviations (60F10) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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- Importance sampling in the Monte Carlo study of sequential tests
- Counterexamples in importance sampling for large deviations probabilities
- Dynamic importance sampling for uniformly recurrent Markov chains
- The integral of geometric Brownian motion
- Asymptotically Optimal Importance Sampling and Stratification for Pricing Path-Dependent Options
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
- Importance Sampling, Large Deviations, and Differential Games
- Asymptotic probabilities and differential equations
- Some Asymptotic Formulas for Wiener Integrals
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