Long-Time Trajectorial Large Deviations and Importance Sampling for Affine Stochastic Volatility Models
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DOI: 10.1017/apr.2020.58
Note: View the original document on HAL open archive server: https://hal.science/hal-03899237v1
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References listed on IDEAS
- 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.
- Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," The Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-343.
- 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
large deviations Monte Carlo methods importance sampling affine stochastic volatility MSC2010: 91G60 60F10; large deviations; Monte Carlo methods; importance sampling; affine stochastic volatility;All these keywords.
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