Importance sampling in derivative securities pricing

Winter Simulation Conference Proceedings

Volumn 1, Issue , 2000, Pages 587-596

  Su, Yi ^a   Fu, Michael C ^a  

^a UNIVERSITY OF MARYLAND   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

ALGORITHMS; COMPUTER SIMULATION; CONVERGENCE OF NUMERICAL METHODS; FUNCTIONS; MONTE CARLO METHODS;

INFINITESIMAL PERTURBATION ANALYSIS (IPA); STOCHASTIC APPROXIMATION (SA); VARIANCE REDUCTION TECHNIQUES (VRT);

RANDOM PROCESSES;

EID: 0034428724     PISSN: 02750708     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

References (15)