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.File in questo prodotto:
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