scientific article; zbMATH DE number 1054684

MaRDI QIDQ4352227zbMATH OpenFDO

Authors Soren S. Nielsen

Publication date 28 August 1997

zbMATH Keywords

binomial latticeimportance samplingtwo-stage sampling procedurevaluation of derivative financial instruments

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Applications of mathematical programming (90C90) Microeconomic theory (price theory and economic markets) (91B24)

Recommendations

• Least-squares Importance Sampling for Monte Carlo security pricing
• Importance sampling and its optimality for stochastic simulation models
• Non-parametric partial importance sampling for financial derivative pricing
• Importance sampling techniques for estimation of diffusion models
• Importance Sampling Via the Estimated Sampler
• Optimal importance sampling for Lévy processes
• Importance Sampling for Stochastic Simulations
• Importance sampling in stochastic programming: a Markov chain Monte Carlo approach
• Layered adaptive importance sampling
• Importance sampling: intrinsic dimension and computational cost

Cited in

(5)

• Monte Carlo methods for security pricing
• Asymptotically optimal importance sampling and stratification for pricing path-dependent options
• Least-squares Importance Sampling for Monte Carlo security pricing
• Constructing Optimal Samples from a Binomial Lattice
• From data to model and back to data: A bond portfolio management problem

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4352227)