Optimal importance sampling for the Laplace transform of exponential Brownian functionals

DOI10.1017/jpr.2016.18zbMath1415.91317OpenAlexW2433655804MaRDI QIDQ3188585

Je Guk Kim

Publication date: 11 August 2016

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1466172872

zbMATH Keywords

importance samplingMonte Carlo methodlarge deviationscalculus of variationDothan modelexponential Brownian functional

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Sampling theory, sample surveys (62D05) Monte Carlo methods (65C05) Large deviations (60F10) Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10)

Related Items

Optimal importance sampling for continuous Gaussian fields, Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion

Cites Work

• Monte Carlo computation of the Laplace transform of exponential Brownian functionals
• Optimal importance sampling with explicit formulas in continuous time
• The integral of geometric Brownian motion
• An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations
• Asymptotically Optimal Importance Sampling and Stratification for Pricing Path-Dependent Options
• THE DOTHAN PRICING MODEL REVISITED
• Functional Analysis, Calculus of Variations and Optimal Control
• Exponential functionals of Brownian motion and disordered systems
• Spectral Expansions for Asian (Average Price) Options
• Asymptotic probabilities and differential equations
• Some Asymptotic Formulas for Wiener Integrals
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