Long-Time Trajectorial Large Deviations and Importance Sampling for Affine Stochastic Volatility Models (Q5022286)
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scientific article; zbMATH DE number 7458585
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| English | Long-Time Trajectorial Large Deviations and Importance Sampling for Affine Stochastic Volatility Models |
scientific article; zbMATH DE number 7458585 |
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Long-Time Trajectorial Large Deviations and Importance Sampling for Affine Stochastic Volatility Models (English)
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18 January 2022
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large deviations
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Monte Carlo methods
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importance sampling
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affine stochastic volatility
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0.9337988
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0.8975664
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0.8949779
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0.8930831
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0.8836014
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0.8761889
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0.8730238
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