Pages that link to "Item:Q928493"
From MaRDI portal
The following pages link to Optimal importance sampling with explicit formulas in continuous time (Q928493):
Displayed 12 items.
- Large deviations for affine diffusion processes on \(\mathbb R_+^m \times\mathbb R^n\) (Q402407) (← links)
- Fractional functional with two occurrences of integrals and asymptotic optimal change of drift in the Black-Scholes model (Q890155) (← links)
- Control variates and conditional Monte Carlo for basket and Asian options (Q2443219) (← links)
- Sample path large deviations and optimal importance sampling for stochastic volatility models (Q2654160) (← links)
- Short Maturity Asian Options in Local Volatility Models (Q2953946) (← links)
- Optimal importance sampling for the Laplace transform of exponential Brownian functionals (Q3188585) (← links)
- On an automatic and optimal importance sampling approach with applications in finance (Q4554214) (← links)
- Some Numerical Methods for Rare Events Simulation and Analysis (Q4567931) (← links)
- Asymptotic behaviour of randomised fractional volatility models (Q5226253) (← links)
- A Large-Deviation-Based Splitting Estimation of Power Flow Reliability (Q5270679) (← links)
- A Cross-Entropy Scheme for Mixtures (Q5270729) (← links)
- Importance Sampling for Backward SDEs (Q5305278) (← links)