Importance sampling for jump-diffusions via cross-entropy
Rebecca Rieke, Weifeng Sun and Hui Wang
| Year of publication: |
June 2018
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|---|---|
| Authors: | Rieke, Rebecca ; Sun, Weifeng ; Wang, Hui |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 22.2018, 1, p. 107-130
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| Subject: | Monte Carlo simulation | importance sampling | cross entropy | option pricing | large deviations | Monte-Carlo-Simulation | Stichprobenerhebung | Sampling | Entropie | Entropy | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Simulation | Maximum-Likelihood-Schätzung | Maximum likelihood estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2018.349 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011890185