Sample path Large Deviations and optimal importance sampling for stochastic volatility models

Author:

Robertson Scott

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference20 articles.

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2. Application of large deviation methods to the pricing of index options in finance;Avellaneda;C. R. Math. Acad. Sci. Paris,2003

3. Computing the implied volatility in stochastic volatility models;Berestycki;Comm. Pure Appl. Math.,2004

4. A measure of asymptotic efficiency for tests of a hypothesis based on the sum of observations;Chernoff;Ann. Math. Statist.,1952

5. Sur un nouveau théorème-limite de la théorie des probabilités;Cramér;Actual. Sci. Indust.,1938

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