scientific article; zbMATH DE number 1390103

zbMath0937.91062MaRDI QIDQ4934370

Lucia Caramellino, Paolo Baldi, Maria Gabriella Iovino

Publication date: 14 June 2000

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

barrier optionsMonte Carlo proceduresharp large deviation estimates

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05)

Related Items (4)

Euler schemes and half-space approximation for the simulation of diffusion in a domain ⋮ A general approach for Parisian stopping times under Markov processes ⋮ Multiresolution Hilbert approach to multidimensional Gauss-Markov processes ⋮ Large deviations of conditioned diffusions and applications

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