Efficient simulation of tail probabilities of sums of correlated lognormals (Q666348)
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scientific article; zbMATH DE number 6012980
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient simulation of tail probabilities of sums of correlated lognormals |
scientific article; zbMATH DE number 6012980 |
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Efficient simulation of tail probabilities of sums of correlated lognormals (English)
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8 March 2012
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Black-Scholes model
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correlated lognormals
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importance sampling
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cross-entropy method
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efficiency
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rare-event simulation
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vanishing relative error
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