Sample path large deviations and optimal importance sampling for stochastic volatility models

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Publication:2654160

DOI10.1016/j.spa.2009.10.010zbMath1181.60041OpenAlexW2171996111MaRDI QIDQ2654160

Scott Robertson

Publication date: 15 January 2010

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2009.10.010




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