On an automatic and optimal importance sampling approach with applications in finance
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Publication:4554214
DOI10.1080/14697688.2015.1136077zbMath1400.91613OpenAlexW2314814195MaRDI QIDQ4554214
Chun-Chieh Chen, Cheng-Der Fuh, Huei-Wen Teng
Publication date: 13 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2015.1136077
Newton's methodimportance samplingexponential tiltingexotic optionsGaussian copulabasket default swapsconjugate measures
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