On sample average approximation algorithms for determining the optimal importance sampling parameters in pricing financial derivatives on Lévy processes
Guangxin Jiang, Chenglong Xu, Michael C. Fu
| Year of publication: |
January 2016
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| Authors: | Jiang, Guangxin ; Xu, Chenglong ; Fu, Michael |
| Published in: |
Operations research letters. - Amsterdam [u.a.] : Elsevier, ISSN 0167-6377, ZDB-ID 720735-9. - Vol. 44.2016, 1, p. 44-49
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| Subject: | Importance sampling | Sample average approximation | Newton iteration | Infinitesimal perturbation analysis | Lévy processes | Stichprobenerhebung | Sampling | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Monte-Carlo-Simulation | Monte Carlo simulation | Algorithmus | Algorithm | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.orl.2015.11.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011455555