Optimal importance sampling with explicit formulas in continuous time
| Year of publication: |
2008
|
|---|---|
| Authors: | Guasoni, Paolo ; Robertson, Scott |
| Published in: |
Finance and Stochastics. - Springer. - Vol. 12.2008, 1, p. 1-19
|
| Publisher: |
Springer |
| Subject: | Monte Carlo methods | Variance reduction | Importance sampling | Large deviations |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005613400