On an automatic and optimal importance sampling approach with applications in finance
Author:
Funder
Ministry of Science and Technology
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
http://www.tandfonline.com/doi/pdf/10.1080/14697688.2015.1136077
Reference25 articles.
1. Stochastic Simulation: Algorithms and Analysis
2. Monte Carlo methods for security pricing
3. Introduction to Rare Event Simulation
4. Least-squares Importance Sampling for Monte Carlo security pricing
5. Efficient importance sampling for Monte Carlo evaluation of exceedance probabilities
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