Importance sampling for multimodal functions and application to pricing exotic options

Winter Simulation Conference Proceedings

Volumn 2, Issue , 2002, Pages 1493-1501

  Avramidis, Athanassios N ^a  

^a UNIVERSITÉ DE MONTRÉAL   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

AUTOMATION; COMPUTER SIMULATION; RANDOM PROCESSES; ROBUSTNESS (CONTROL SYSTEMS); SAMPLING; STOCHASTIC CONTROL SYSTEMS;

IMPORTANCE SAMPLING (IS);

INDUSTRIAL ECONOMICS;

EID: 0036930613     PISSN: 02750708     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

References (9)

1. Baxter, M., and A. Rennie. 1996. Financial calculus. Cambridge: Cambridge University Press.
2. Duffie, D. 1996. Dynamic asset pricing theory. 2d ed. Princeton, New Jersey: Princeton University Press.
3. Glasserman, P., P. Heidelberger, and P. Shahabuddin. 1999. Asymptotically optimal importance sampling and stratification for pricing path-dependent options. Mathematical Finance 9 (2):117-152.
4. Harrison, M., and S. Pliska. 1981. Martingales and stochastic integrals in the theory of continuous trading. Stochastic Processes and Their Applications 11:215-260.
5. Lepage, G. P. 1978. A new algorithm for adaptive multidimensional integration. Journal of Computational Physics 27 (2):192-203.
6. Oh, M. S., and J. O. Berger. 1993. Integration of multimodal functions by monte carlo importance sampling. Journal of the American Statistical Association 88:450-456.
7. Press, W. H., S. A. Teukolsky, W. T. Vetterling, and B. P. Flannery. 1992. Numerical recipes in c: The art of scientific computing. 3d ed. Cambridge: Cambridge University Press.
8. van Dijk, H. J., and T. Kloek. 1980. Further experience in bayesian analysis using monte carlo integration. Journal of Econometrics 14:307-328.
9. West, M. 1993. Approximating posterior distributions by mixtures. Journal of the Royal Statistical Society B 55 (2):409-422.