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1 Ergebnisse
1
Long-Time Trajectorial Large Deviations and Importance Samp..:
Grbac, Zorana
;
Krief, David
;
Tankov, Peter
info:eu-repo/semantics/altIdentifier/doi/10.1017/apr.2020.58. , 2021
Link:
https://hal.science/hal-03899237
RT Journal T1
Long-Time Trajectorial Large Deviations and Importance Sampling for Affine Stochastic Volatility Models
UL https://suche.suub.uni-bremen.de/peid=base-ftunivparis:oai:HAL:hal-03899237v1&Exemplar=1&LAN=DE A1 Grbac, Zorana A1 Krief, David A1 Tankov, Peter PB HAL CCSD; Applied Probability Trust YR 2021 K1 large deviations Monte Carlo methods importance sampling affine stochastic volatility MSC2010: 91G60 60F10 K1 large deviations K1 Monte Carlo methods K1 importance sampling K1 affine stochastic volatility K1 [MATH]Mathematics [math] K1 [QFIN]Quantitative Finance [q-fin] JF info:eu-repo/semantics/altIdentifier/doi/10.1017/apr.2020.58 LK http://dx.doi.org/https://hal.science/hal-03899237 DO https://hal.science/hal-03899237 SF ELIB - SuUB Bremen
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