Importance sampling for McKean-Vlasov SDEs
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DOI: 10.1016/j.amc.2023.128078
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- Huei-Wen Teng & Cheng-Der Fuh & Chun-Chieh Chen, 2016. "On an automatic and optimal importance sampling approach with applications in finance," Quantitative Finance, Taylor & Francis Journals, vol. 16(8), pages 1259-1271, August.
- Genin, Adrien & Tankov, Peter, 2020. "Optimal importance sampling for Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 130(1), pages 20-46.
- Paolo Guasoni & Scott Robertson, 2008. "Optimal importance sampling with explicit formulas in continuous time," Finance and Stochastics, Springer, vol. 12(1), pages 1-19, January.
- Paul Glasserman & Philip Heidelberger & Perwez Shahabuddin, 1999. "Asymptotically Optimal Importance Sampling and Stratification for Pricing Path‐Dependent Options," Mathematical Finance, Wiley Blackwell, vol. 9(2), pages 117-152, April.
- Robertson, Scott, 2010. "Sample path Large Deviations and optimal importance sampling for stochastic volatility models," Stochastic Processes and their Applications, Elsevier, vol. 120(1), pages 66-83, January.
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Keywords
McKean-Vlasov Stochastic Differential Equation; Interacting particle systems; Monte Carlo simulation; Importance sampling; Large deviations;All these keywords.
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