On sample average approximation algorithms for determining the optimal importance sampling parameters in pricing financial derivatives on Lévy processes (Q1785463)

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On sample average approximation algorithms for determining the optimal importance sampling parameters in pricing financial derivatives on Lévy processes
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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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