On sample average approximation algorithms for determining the optimal importance sampling parameters in pricing financial derivatives on Lévy processes (Q1785463)
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scientific article; zbMATH DE number 6945435
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On sample average approximation algorithms for determining the optimal importance sampling parameters in pricing financial derivatives on Lévy processes |
scientific article; zbMATH DE number 6945435 |
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On sample average approximation algorithms for determining the optimal importance sampling parameters in pricing financial derivatives on Lévy processes (English)
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28 September 2018
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importance sampling
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sample average approximation
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Newton iteration
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infinitesimal perturbation analysis
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Lévy processes
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