An efficient exponential twisting importance sampling technique for pricing financial derivatives

DOI10.1080/03610926.2018.1530788OpenAlexW2907676328WikidataQ128688854 ScholiaQ128688854MaRDI QIDQ5022767

Guiding Gu, Kun Du, Jun Mei Ma

Publication date: 19 January 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2018.1530788

zbMATH Keywords

importance samplingefficientleast squareexponential twisting

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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