Importance sampling for jump processes and applications to finance
Laetitia Badouraly Kassim, Jérôme Lelong and Imane Loumrhari
| Year of publication: |
December 2015
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|---|---|
| Authors: | Badouraly Kassim, Laetitia ; Lelong, Jérôme ; Loumrhari, Imane |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 19.2015/2016, 2, p. 109-139
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| Subject: | Importance sampling | sample average approximation | adoptive Monte Carlo methods | Monte-Carlo-Simulation | Monte Carlo simulation | Stichprobenerhebung | Sampling | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory | Maximum-Likelihood-Schätzung | Maximum likelihood estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011442676