Non-parametric partial importance sampling for financial derivative pricing
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DOI: 10.1080/14697680903496485
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Cited by:
- Erik Hintz & Marius Hofert & Christiane Lemieux & Yoshihiro Taniguchi, 2022. "Single-Index Importance Sampling with Stratification," Methodology and Computing in Applied Probability, Springer, vol. 24(4), pages 3049-3073, December.
- 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.
- Huei-Wen Teng & Ming-Hsuan Kang, 2022. "On Accelerating Monte Carlo Integration Using Orthogonal Projections," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 1143-1168, June.
- J Morio & R Pastel, 2012. "Plug-in estimation of d-dimensional density minimum volume set of a rare event in a complex system," Journal of Risk and Reliability, , vol. 226(3), pages 337-345, June.
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Keywords
Monte Carlo methods; Pricing of derivatives securities; Path-dependent options; Option pricing via simulation; Financial engineering;All these keywords.
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