Brownian meanders, importance sampling and unbiased simulation of diffusion extremes
نویسندگان
چکیده
منابع مشابه
Brownian meanders, importance sampling and unbiased simulation of diffusion extremes
Computing expected values of functions involving extreme values of diffusion processes can find wide applications in financial engineering. Conventional discretization simulation schemes often converge slowly. We propose a Wiener-measure-decomposition based approach to construct unbiased Monte Carlo estimators. Combined with the importance sampling technique and the Williams path decomposition ...
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ژورنال
عنوان ژورنال: Operations Research Letters
سال: 2012
ISSN: 0167-6377
DOI: 10.1016/j.orl.2012.09.010