Asymptotically optimal importance sampling and stratification for pricing path-dependent options

Mathematical Finance

Volumn 9, Issue 2, 1999, Pages 117-152

  Glasserman, Paul ^a   Heidelberger, Philip ^b   Shahabuddin, Perwez ^b  

^a Och Spine at New York Presbyterian Hospitals   (United States)

^b NONE

Author keywords

Laplace principle; Large deviations; Monte Carlo methods; Variance reduction

Indexed keywords

EID: 0033411026     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9965.00065     Document Type: Article

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