Efficient simulation of tail probabilities of sums of correlated lognormals
type: Item
instance of: scholarly article
title: Efficient simulation of tail probabilities of sums of correlated lognormals
zbMATH Open document ID: 1279.60027
author: S. Juneja
author: L. Rojas-Nandayapa
author: Søren Asmussen
author: Jose Blanchet
published in: Annals of Operations Research
publication date: 2012-03-08T00:00:00Z
full work available at URL: imf thiele 2008 11.pdf
Mathematics Subject Classification ID: 60E05
Mathematics Subject Classification ID: 60F10
Mathematics Subject Classification ID: 60G70
Mathematics Subject Classification ID: 62D05
Mathematics Subject Classification ID: 62G05
Mathematics Subject Classification ID: 91G10
zbMATH DE Number: 6012980
zbMATH Keywords: Black-Scholes model
zbMATH Keywords: correlated lognormals
zbMATH Keywords: importance sampling
zbMATH Keywords: cross-entropy method
zbMATH Keywords: efficiency
zbMATH Keywords: rare-event simulation
zbMATH Keywords: vanishing relative error
describes a project that uses: QRM
MaRDI profile type: Publication
OpenAlex ID: W2154700532
cites work: Improved algorithms for rare event simulation with heavy tails
cites work: Stochastic simulation: Algorithms and analysis
cites work: Asymptotics of sums of lognormal random variables with Gaussian copula
cites work: Efficient rare-event simulation for the maximum of heavy-tailed random walks
cites work: Fluid heuristics, Lyapunov bounds and efficient importance sampling for a heavy-tailed \(G/G/1\) queue
cites work: Introduction to rare event simulation.
cites work: Importance sampling for sums of random variables with regularly varying tails
cites work: Q4343010
cites work: Q5732992
cites work: Estimating tail probabilities of heavy tailed distributions with asymptotically zero relative error
cites work: Q5706744
cites work: Q4004226
cites work: The transform likelihood ratio method for rare event simulation with heavy tails
DOI: 10.1007/S10479-009-0658-5
description: scientific article; zbMATH DE number 6012980