Importance sampling for jump-diffusions via cross-entropy
Year of publication: |
June 2018
|
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Authors: | Rieke, Rebecca ; Sun, Weifeng ; Wang, Hui |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 22.2018, 1, p. 107-130
|
Subject: | Monte Carlo simulation | importance sampling | cross entropy | option pricing | large deviations | Monte-Carlo-Simulation | Optionspreistheorie | Option pricing theory | Stichprobenerhebung | Sampling | Entropie | Entropy | Stochastischer Prozess | Stochastic process | Simulation |
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