Importance sampling for Kolmogorov backward equations

DOI10.1007/s10182-013-0223-zzbMath1443.62010OpenAlexW2169358392MaRDI QIDQ1621680

Hermann Singer

Publication date: 9 November 2018

Published in: AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10182-013-0223-z

zbMATH Keywords

option pricingstochastic differential equationsMonte Carlo methodtransport equationFeynman-Kac formulalikelihood functionsdrift correction

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05)

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