Non-parametric partial importance sampling for financial derivative pricing
Work
Year: 2010
Type: article
Abstract: Importance sampling is a promising variance reduction technique for Monte Carlo simulation-based derivative pricing. Existing importance sampling methods are based on a parametric choice of the propos... more
Source: Quantitative Finance
Author Jan C. Neddermeyer
Institution Heidelberg University
Cites: 41
Cited by: 9
Related to: 10
FWCI: 1.254
Citation percentile (by year/subfield): 83.86
Subfield: Numerical Analysis
Field: Mathematics
Domain: Physical Sciences
Open Access status: green