Importance sampling for Kolmogorov backward equations (Q1621680)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Importance sampling for Kolmogorov backward equations |
scientific article |
Statements
Importance sampling for Kolmogorov backward equations (English)
0 references
9 November 2018
0 references
transport equation
0 references
Feynman-Kac formula
0 references
Monte Carlo method
0 references
drift correction
0 references
stochastic differential equations
0 references
likelihood functions
0 references
option pricing
0 references
0 references
0 references
0 references
