On an automatic and optimal importance sampling approach with applications in finance (Q4554214)
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scientific article; zbMATH DE number 6976814
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On an automatic and optimal importance sampling approach with applications in finance |
scientific article; zbMATH DE number 6976814 |
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On an automatic and optimal importance sampling approach with applications in finance (English)
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13 November 2018
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importance sampling
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exponential tilting
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conjugate measures
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Newton's method
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exotic options
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basket default swaps
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Gaussian copula
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