Asymptotically Optimal Importance Sampling and Stratification for Pricing Path-Dependent Options
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Publication:2757298
DOI10.1111/1467-9965.00065zbMath0980.91034OpenAlexW2097511294MaRDI QIDQ2757298
Philip Heidelberger, Perwez Shahabuddin, Paul Glasserman
Publication date: 26 November 2001
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9965.00065
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stochastic models in economics (91B70) Large deviations (60F10)
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