Importance sampling techniques for a European option

MaRDI QIDQ5447885zbMATH OpenFDO

Authors Gikiri Thuo

Publication date 20 March 2008

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05)

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Cited in

(3)

• Implementing importance sampling in the least-squares Monte Carlo approach for American options
• Amostragem descritiva no apreçamento de opções européias através de simulação Monte Carlo: o efeito da dimensionalidade e da probabilidade de exercício no ganho de precisão
• A Monte Carlo approach to value exchange options using a single stochastic factor

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