Importance sampling for Kolmogorov backward equations
Year of publication: |
2014
|
---|---|
Authors: | Singer, Hermann |
Published in: |
AStA Advances in Statistical Analysis. - Springer. - Vol. 98.2014, 4, p. 345-369
|
Publisher: |
Springer |
Subject: | Transport equation | Feynman–Kac formula | Monte Carlo method | Drift correction | Stochastic differential equations | Likelihood functions | Option pricing |
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