Asymptotically optimal importance sampling and stratification for pricing path-dependent options (Q2757298)
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scientific article; zbMATH DE number 1676813
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotically optimal importance sampling and stratification for pricing path-dependent options |
scientific article; zbMATH DE number 1676813 |
Statements
26 November 2001
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Monte Carlo methods
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variance reduction
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large deviations
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Laplace principle
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Asymptotically optimal importance sampling and stratification for pricing path-dependent options (English)
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