Unconstrained recursive importance sampling

Annals of Applied Probability

Volumn 20, Issue 3, 2010, Pages 1029-1067

  Lemaire, Vincent ^a   Pagès, Gilles ^a  

^a SORBONNE UNIVERSITÉ   (France)

Author keywords

Barrier options; Esscher transform; Importance sampling; NIG distribution; Robbins Monro; Stochastic algorithm

Indexed keywords

EID: 77953813882     PISSN: 10505164     EISSN: 10505164     Source Type: Journal    
DOI: 10.1214/09-AAP650     Document Type: Article

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