Sample path large deviations and optimal importance sampling for stochastic volatility models
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Publication:2654160
DOI10.1016/j.spa.2009.10.010zbMath1181.60041MaRDI QIDQ2654160
Publication date: 15 January 2010
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2009.10.010
importance sampling; stochastic volatility; Monte Carlo methods; large deviations; variance reduction
91G60: Numerical methods (including Monte Carlo methods)
65C05: Monte Carlo methods
60F10: Large deviations
91G20: Derivative securities (option pricing, hedging, etc.)
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