Efficient simulation of tail probabilities of sums of correlated lognormals
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Publication:666348
DOI10.1007/s10479-009-0658-5zbMath1279.60027MaRDI QIDQ666348
Leonardo Rojas-Nandayapa, Sandeep Juneja, Jose H. Blanchet, Soren Asmussen
Publication date: 8 March 2012
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://pure.au.dk/ws/files/41924800/imf_thiele_2008_11.pdf
importance sampling; efficiency; Black-Scholes model; rare-event simulation; cross-entropy method; correlated lognormals; vanishing relative error
62G05: Nonparametric estimation
62D05: Sampling theory, sample surveys
60G70: Extreme value theory; extremal stochastic processes
60E05: Probability distributions: general theory
60F10: Large deviations
91G10: Portfolio theory
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Uses Software
Cites Work
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