Importance sampling can greatly increase the precision of Monte Carlo methods, expecially for options depending on several underlying assets. This article discusses a characterization of asymptotically optimal drifts as solutions of a variational problem, which leads to a system of Euler-Lagrange ODEs. The calculation of drifts is discussed for basket options of European and Asian type.

Guasoni P, Robertson S (2007). Importance Sampling with Basket Options. WILMOTT, Nov/Dec, 2-5.

Importance Sampling with Basket Options

Guasoni P
Co-primo
;
2007

Abstract

Importance sampling can greatly increase the precision of Monte Carlo methods, expecially for options depending on several underlying assets. This article discusses a characterization of asymptotically optimal drifts as solutions of a variational problem, which leads to a system of Euler-Lagrange ODEs. The calculation of drifts is discussed for basket options of European and Asian type.
2007
Guasoni P, Robertson S (2007). Importance Sampling with Basket Options. WILMOTT, Nov/Dec, 2-5.
Guasoni P; Robertson S
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/855643
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