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Optimal importance sampling with explicit formulas in continuous time

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  • Paolo Guasoni
  • Scott Robertson

Abstract

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Suggested Citation

  • 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.
    • Handle: RePEc:spr:finsto:v:12:y:2008:i:1:p:1-19
    DOI: 10.1007/s00780-007-0053-5
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    References listed on IDEAS

    as
    1. 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.
    2. Levy, Edmond, 1992. "Pricing European average rate currency options," Journal of International Money and Finance, Elsevier, vol. 11(5), pages 474-491, October.
    3. Hélyette Geman & Marc Yor, 1993. "Bessel Processes, Asian Options, And Perpetuities," Mathematical Finance, Wiley Blackwell, vol. 3(4), pages 349-375, October.
    4. Turnbull, Stuart M. & Wakeman, Lee Macdonald, 1991. "A Quick Algorithm for Pricing European Average Options," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(3), pages 377-389, September.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Genin, Adrien & Tankov, Peter, 2020. "Optimal importance sampling for Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 130(1), pages 20-46.
    2. Dan Pirjol & Lingjiong Zhu, 2017. "Asymptotics for the Discrete-Time Average of the Geometric Brownian Motion and Asian Options," Papers 1706.09659, arXiv.org.
    3. Dan Pirjol & Lingjiong Zhu, 2024. "Short-maturity Asian options in local-stochastic volatility models," Papers 2409.08377, arXiv.org.
    4. Metzler Adam & Scott Alexandre, 2014. "Rare event simulation for diffusion processes via two-stage importance sampling," Monte Carlo Methods and Applications, De Gruyter, vol. 20(2), pages 77-100, June.
    5. Dingeç, Kemal Dinçer & Hörmann, Wolfgang, 2013. "Control variates and conditional Monte Carlo for basket and Asian options," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 421-434.
    6. dos Reis, Gonçalo & Smith, Greig & Tankov, Peter, 2023. "Importance sampling for McKean-Vlasov SDEs," Applied Mathematics and Computation, Elsevier, vol. 453(C).
    7. 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.
    8. Zorana Grbac & David Krief & Peter Tankov, 2021. "Long-Time Trajectorial Large Deviations and Importance Sampling for Affine Stochastic Volatility Models," Post-Print hal-03899237, HAL.
    9. Bendera, Christian & Moseler, Thilo, 2008. "Importance sampling for backward SDEs," CoFE Discussion Papers 08/11, University of Konstanz, Center of Finance and Econometrics (CoFE).
    10. Dan Pirjol & Lingjiong Zhu, 2016. "Short Maturity Asian Options in Local Volatility Models," Papers 1609.07559, arXiv.org.
    11. Adrien Genin & Peter Tankov, 2016. "Optimal importance sampling for L\'evy Processes," Papers 1608.04621, arXiv.org.
    12. Aur'elien Alfonsi & David Krief & Peter Tankov, 2018. "Long-time large deviations for the multi-asset Wishart stochastic volatility model and option pricing," Papers 1806.06883, arXiv.org.
    13. Zorana Grbac & David Krief & Peter Tankov, 2018. "Long-time trajectorial large deviations for affine stochastic volatility models and application to variance reduction for option pricing," Papers 1809.06153, arXiv.org.
    14. Dan Pirjol & Lingjiong Zhu, 2023. "Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion," Papers 2306.09084, arXiv.org.

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