scientific article; zbMATH DE number 5490661

zbMath1187.91211MaRDI QIDQ5302792

Maria Letizia Guerra, Laerte Sorini

Publication date: 13 January 2009

Full work available at URL: https://eudml.org/doc/230323

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

zbMATH Keywords

importance samplingstochastic volatilitystochastic differential equationsMonte Carlo simulationsvariance reduction

Mathematics Subject Classification ID

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