Long-Time Trajectorial Large Deviations and Importance Sampling for Affine Stochastic Volatility Models

DOI10.1017/apr.2020.58OpenAlexW3138921830MaRDI QIDQ5022286

Zorana Grbac, David Krief, Peter Tankov

Publication date: 18 January 2022

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/apr.2020.58

zbMATH Keywords

importance samplingMonte Carlo methodslarge deviationsaffine stochastic volatility

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Large deviations (60F10)

Cites Work

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