Pages that link to "Item:Q928493"

The following pages link to Optimal importance sampling with explicit formulas in continuous time (Q928493):

Displaying 22 items.

• Large deviations for affine diffusion processes on \(\mathbb R_+^m \times\mathbb R^n\) (Q402407) (← links)
• Optimal importance sampling for continuous Gaussian fields (Q830273) (← links)
• Fractional functional with two occurrences of integrals and asymptotic optimal change of drift in the Black-Scholes model (Q890155) (← links)
• Efficient large deviation estimation based on importance sampling (Q2202311) (← links)
• On the pricing of Asian options with geometric average of American type with stochastic interest rate: a stochastic optimal control approach (Q2274620) (← links)
• Optimal importance sampling for Lévy processes (Q2289777) (← 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)
• A Yosida's parametrix approach to Varadhan's estimates for a degenerate diffusion under the weak Hörmander condition (Q2674299) (← 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)
• Long-Time Trajectorial Large Deviations and Importance Sampling for Affine Stochastic Volatility Models (Q5022286) (← links)
• Long-Time Large Deviations for the Multiasset Wishart Stochastic Volatility Model and Option Pricing (Q5215986) (← links)
• Asymptotic behaviour of randomised fractional volatility models (Q5226253) (← links)
• Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options (Q5233177) (← 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)
• Importance sampling for McKean-Vlasov SDEs (Q6106020) (← links)
• Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion (Q6106550) (← links)