On sample average approximation algorithms for determining the optimal importance sampling parameters in pricing financial derivatives on Lévy processes (Q1785463)
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scientific article; zbMATH DE number 6945435
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| English | On sample average approximation algorithms for determining the optimal importance sampling parameters in pricing financial derivatives on Lévy processes |
scientific article; zbMATH DE number 6945435 |
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On sample average approximation algorithms for determining the optimal importance sampling parameters in pricing financial derivatives on Lévy processes (English)
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28 September 2018
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importance sampling
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sample average approximation
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Newton iteration
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infinitesimal perturbation analysis
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Lévy processes
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0.8281096816062927
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0.819730281829834
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0.7963322401046753
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0.7920982837677002
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0.7910383939743042
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