Optimal importance sampling for continuous Gaussian fields
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Publication:830273
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Cites work
- scientific article; zbMATH DE number 3837042 (Why is no real title available?)
- scientific article; zbMATH DE number 1158743 (Why is no real title available?)
- scientific article; zbMATH DE number 194664 (Why is no real title available?)
- scientific article; zbMATH DE number 5934741 (Why is no real title available?)
- Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion
- Asymptotically optimal importance sampling and stratification for pricing path-dependent options
- Explicit computation of second order moments of importance sampling estimators for fractional Brownian motion
- Exponential functionals of Brownian motion and disordered systems
- Exponential functionals of Brownian motion. I: Probability laws at fixed time
- Monte Carlo computation of the Laplace transform of exponential Brownian functionals
- On the Laplace method for Gaussian measures in a Banach space
- Optimal importance sampling for the Laplace transform of exponential Brownian functionals
- Optimal importance sampling with explicit formulas in continuous time
- Pricing geometric Asian power options under mixed fractional Brownian motion environment
- The integral of geometric Brownian motion
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