Efficient simulation of tail probabilities of sums of correlated lognormals (Q666348)
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scientific article; zbMATH DE number 6012980
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| English | Efficient simulation of tail probabilities of sums of correlated lognormals |
scientific article; zbMATH DE number 6012980 |
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Efficient simulation of tail probabilities of sums of correlated lognormals (English)
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8 March 2012
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Black-Scholes model
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correlated lognormals
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importance sampling
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cross-entropy method
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efficiency
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rare-event simulation
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vanishing relative error
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0.8492786288261414
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0.8366519212722778
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0.8348881602287292
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0.8332892060279846
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