Optimal importance sampling with explicit formulas in continuous time
From MaRDI portal
Publication:928493
DOI10.1007/s00780-007-0053-5zbMath1150.91019OpenAlexW2017986621MaRDI QIDQ928493
Paolo Guasoni, Scott Robertson
Publication date: 18 June 2008
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-007-0053-5
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Large deviations (60F10) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (22)
Optimal importance sampling for continuous Gaussian fields ⋮ Importance Sampling for Backward SDEs ⋮ On an automatic and optimal importance sampling approach with applications in finance ⋮ Optimal importance sampling for the Laplace transform of exponential Brownian functionals ⋮ Sample path large deviations and optimal importance sampling for stochastic volatility models ⋮ Some Numerical Methods for Rare Events Simulation and Analysis ⋮ A Yosida's parametrix approach to Varadhan's estimates for a degenerate diffusion under the weak Hörmander condition ⋮ Fractional functional with two occurrences of integrals and asymptotic optimal change of drift in the Black-Scholes model ⋮ Large deviations for affine diffusion processes on \(\mathbb R_+^m \times\mathbb R^n\) ⋮ Short Maturity Asian Options in Local Volatility Models ⋮ Importance sampling for McKean-Vlasov SDEs ⋮ Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion ⋮ Efficient large deviation estimation based on importance sampling ⋮ Control variates and conditional Monte Carlo for basket and Asian options ⋮ On the pricing of Asian options with geometric average of American type with stochastic interest rate: a stochastic optimal control approach ⋮ Optimal importance sampling for Lévy processes ⋮ Long-Time Large Deviations for the Multiasset Wishart Stochastic Volatility Model and Option Pricing ⋮ Asymptotic behaviour of randomised fractional volatility models ⋮ Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options ⋮ Long-Time Trajectorial Large Deviations and Importance Sampling for Affine Stochastic Volatility Models ⋮ A Large-Deviation-Based Splitting Estimation of Power Flow Reliability ⋮ A Cross-Entropy Scheme for Mixtures
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Importance sampling in the Monte Carlo study of sequential tests
- Counterexamples in importance sampling for large deviations probabilities
- Dynamic importance sampling for uniformly recurrent Markov chains
- The integral of geometric Brownian motion
- Asymptotically Optimal Importance Sampling and Stratification for Pricing Path-Dependent Options
- BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
- Importance Sampling, Large Deviations, and Differential Games
- Asymptotic probabilities and differential equations
- Some Asymptotic Formulas for Wiener Integrals
This page was built for publication: Optimal importance sampling with explicit formulas in continuous time
