Importance sampling for jump processes and applications to finance
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DOI: 10.21314/JCF.2015.292
Note: View the original document on HAL open archive server: https://hal.science/hal-00842362
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References listed on IDEAS
- S. G. Kou, 2002. "A Jump-Diffusion Model for Option Pricing," Management Science, INFORMS, vol. 48(8), pages 1086-1101, August.
- Lelong, Jérôme, 2008. "Almost sure convergence of randomly truncated stochastic algorithms under verifiable conditions," Statistics & Probability Letters, Elsevier, vol. 78(16), pages 2632-2636, November.
- Arouna Bouhari, 2004. "Adaptative Monte Carlo Method, A Variance Reduction Technique," Monte Carlo Methods and Applications, De Gruyter, vol. 10(1), pages 1-24, March.
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- Ole E. Barndorff‐Nielsen & Neil Shephard, 2001. "Non‐Gaussian Ornstein–Uhlenbeck‐based models and some of their uses in financial economics," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 63(2), pages 167-241.
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Cited by:
- Genin, Adrien & Tankov, Peter, 2020. "Optimal importance sampling for Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 130(1), pages 20-46.
- Adrien Genin & Peter Tankov, 2016. "Optimal importance sampling for L\'evy Processes," Papers 1608.04621, arXiv.org.
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Keywords
adaptive Monte Carlo methods.; sample average approximation; Importance sampling; adaptive Monte Carlo methods;All these keywords.
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