Importance Sampling for Rainbow Option Pricing
Year: 2026
Type: article
Abstract: This paper studies the applications of state-dependent importance sampling in pricing exotic rainbow options. We demonstrate that for many rainbow options, efficient dynamic importance sampling schemes can be constructed from subsolutions to appropriate partial differential equations. We also introduce an alternative large deviations scaling, which leads to universal importance sampling for rainbow options.
Source: Stochastic Systems
Authors: Leila Setayeshgar, Hui Wang
Institutions: College of Charleston, Brown University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: diamond
OpenAlex ID: W7128469187