Pages that link to "Item:Q2757298"
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The following pages link to Asymptotically optimal importance sampling and stratification for pricing path-dependent options (Q2757298):
Displaying 50 items.
- Importance sampling and statistical Romberg method for Lévy processes (Q271865) (← links)
- Efficient VaR and expected shortfall computations for nonlinear portfolios within the delta-gamma approach (Q278288) (← links)
- Large deviations for affine diffusion processes on \(\mathbb R_+^m \times\mathbb R^n\) (Q402407) (← links)
- Minimax number of strata for online stratified sampling: the case of noisy samples (Q465255) (← links)
- On adaptive stratification (Q666354) (← links)
- Importance sampling in path space for diffusion processes with slow-fast variables (Q681519) (← links)
- Adaptive optimal allocation in stratified sampling methods (Q708783) (← links)
- Optimal importance sampling for continuous Gaussian fields (Q830273) (← links)
- Optimal importance sampling with explicit formulas in continuous time (Q928493) (← links)
- Adaptive Monte Carlo variance reduction for Lévy processes with two-time-scale stochastic approximation (Q931375) (← links)
- Robust adaptive importance sampling for normal random vectors (Q983877) (← links)
- Unconstrained recursive importance sampling (Q988764) (← links)
- Efficient risk simulations for linear asset portfolios in the \(t\)-copula model (Q1041011) (← links)
- An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options (Q1634312) (← links)
- A hybrid Monte Carlo acceleration method of pricing basket options based on splitting (Q1639548) (← links)
- Asymptotics for the Euler-discretized Hull-White stochastic volatility model (Q1703031) (← links)
- On sample average approximation algorithms for determining the optimal importance sampling parameters in pricing financial derivatives on Lévy processes (Q1785463) (← links)
- General multilevel Monte Carlo methods for pricing discretely monitored Asian options (Q2023956) (← links)
- Rare event simulation for electronic circuit design (Q2094847) (← links)
- On accelerating Monte Carlo integration using orthogonal projections (Q2152260) (← links)
- Optimal importance sampling for Lévy processes (Q2289777) (← links)
- Efficient randomized quasi-Monte Carlo methods for portfolio market risk (Q2404543) (← links)
- Moderate deviations for neutral stochastic differential delay equations with jumps (Q2405926) (← links)
- Efficient Monte Carlo simulation for integral functionals of Brownian motion (Q2442860) (← links)
- Control variates and conditional Monte Carlo for basket and Asian options (Q2443219) (← links)
- Risk management for linear and nonlinear assets: a bootstrap method with importance resampling to evaluate value-at-risk (Q2454819) (← links)
- Computational aspects of integrated market and credit portfolio models (Q2460076) (← links)
- Large deviations and fast simulation in the presence of boundaries. (Q2574516) (← links)
- Sample path large deviations and optimal importance sampling for stochastic volatility models (Q2654160) (← links)
- Single-index importance sampling with stratification (Q2684956) (← links)
- Implementing importance sampling in the least-squares Monte Carlo approach for American options (Q2895135) (← links)
- BETTER CONFIDENCE INTERVALS FOR IMPORTANCE SAMPLING (Q3067164) (← links)
- Increasing the number of inner replications of multifactor portfolio credit risk simulation in the t-copula model (Q3068190) (← links)
- CONVENIENT MULTIPLE DIRECTIONS OF STRATIFICATION (Q3100993) (← links)
- Dirichlet Bridge Sampling for the Variance Gamma Process: Pricing Path-Dependent Options (Q3117805) (← links)
- A framework for adaptive Monte Carlo procedures (Q3168631) (← links)
- Sequential Monte Carlo Methods for Option Pricing (Q3168706) (← links)
- Optimal importance sampling for the Laplace transform of exponential Brownian functionals (Q3188585) (← links)
- ON THE ERROR IN THE MONTE CARLO PRICING OF SOME FAMILIAR EUROPEAN PATH-DEPENDENT OPTIONS (Q3370591) (← links)
- Least-squares Importance Sampling for Monte Carlo security pricing (Q3605223) (← links)
- Arithmetic average options in the hyperbolic model (Q4462529) (← links)
- On an automatic and optimal importance sampling approach with applications in finance (Q4554214) (← links)
- THE EFFICIENT COMPUTATION AND THE SENSITIVITY ANALYSIS OF FINITE-TIME RUIN PROBABILITIES AND THE ESTIMATION OF RISK-BASED REGULATORY CAPITAL (Q4563775) (← links)
- Some Numerical Methods for Rare Events Simulation and Analysis (Q4567931) (← links)
- MOST-LIKELY-PATH IN ASIAN OPTION PRICING UNDER LOCAL VOLATILITY MODELS (Q4584697) (← links)
- A New Variance Reduction Technique for Estimating Value-at-Risk (Q4682473) (← links)
- Adaptative Monte Carlo Method, A Variance Reduction Technique (Q4831807) (← links)
- Long-Time Trajectorial Large Deviations and Importance Sampling for Affine Stochastic Volatility Models (Q5022286) (← links)
- An efficient exponential twisting importance sampling technique for pricing financial derivatives (Q5022767) (← links)
- An efficient acceleration Monte Carlo simulation for pricing Asian option under variance gamma process by splitting (Q5031764) (← links)
