Asymptotically Optimal Importance Sampling and Stratification for Pricing Path-Dependent Options

DOI10.1111/1467-9965.00065zbMath0980.91034MaRDI QIDQ2757298

Paul Glasserman, Philip Heidelberger, Perwez Shahabuddin

Publication date: 26 November 2001

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.00065

zbMATH Keywords

Monte Carlo methods; large deviations; variance reduction; Laplace principle

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods

91B70: Stochastic models in economics

60F10: Large deviations

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