Optimal importance sampling with explicit formulas in continuous time
Paolo Guasoni; Scott Robertson
| Year of publication: |
2008
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|---|---|
| Authors: | Guasoni, Paolo ; Robertson, Scott |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 12.2008, 1, p. 1-19
|
| Subject: | Monte-Carlo-Simulation | Monte Carlo simulation | Black-Scholes-Modell | Black-Scholes model | Optionspreistheorie | Option pricing theory |
| 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/10003592542