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On sample average approximation algorithms for determining the optimal importance sampling parameters in pricing financial derivatives on Lévy processes
Jiang, Guangxin; Xu, Chenglong; Fu, Michael - In: Operations research letters 44 (2016) 1, pp. 44-49
Persistent link: https://www.econbiz.de/10011455555
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Adaptive importance sampling for efficient stochastic root finding and quantile estimation
He, Shengyi; Jiang, Guangxin; Lam, Henry; Fu, Michael - In: Operations research 72 (2024) 6, pp. 2612-2630
Persistent link: https://www.econbiz.de/10015371528