We present an application of importance sampling in a Monte Carlo simulation for multi-asset options and in a Multi …-Level Monte Carlo simulation. We demonstrate that applying importance sampling only on the first level of the Multi-Level Monte …. Moreover, we combine it with the importance sampling to reduce the variance of the Greeks. Finally, we study the impact of the …

programming languages (Python, Matlab and R), are: Latin Hypercube, Stratified Sampling, Antithetic Variables, Importance Sampling …

Abstract In this paper, we apply importance sampling to Heston's stochastic volatility model and Bates's stochastic … volatility model with jumps. We propose an effective numerical scheme that dramatically improves the speed of importance sampling … combining it with importance sampling leads to a significant variance reduction for the Greeks. All results are illustrated …