Asymptotically optimal importance sampling and stratification for pricing path-dependent options
Year of publication: |
1999
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Authors: | Glasserman, Paul ; Heidelberger, Philip ; Shahabuddin, Perwez |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 9.1999, 2, p. 117-152
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Subject: | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Stichprobenerhebung | Sampling | Theorie | Theory |
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