Matches in SemOpenAlex for { <https://semopenalex.org/work/W3099848468> ?p ?o ?g. }
Showing items 1 to 100 of
100
with 100 items per page.
- W3099848468 abstract "We propose an unconstrained stochastic approximation method for finding the optimal change of measure (in an a priori parametric family) to reduce the variance of a Monte Carlo simulation. We consider different parametric families based on the Girsanov theorem and the Esscher transform (exponential-tilting). In [Monte Carlo Methods Appl. 10 (2004) 1–24], it described a projected Robbins–Monro procedure to select the parameter minimizing the variance in a multidimensional Gaussian framework. In our approach, the parameter (scalar or process) is selected by a classical Robbins–Monro procedure without projection or truncation. To obtain this unconstrained algorithm, we extensively use the regularity of the density of the law without assuming smoothness of the payoff. We prove the convergence for a large class of multidimensional distributions as well as for diffusion processes. We illustrate the efficiency of our algorithm on several pricing problems: a Basket payoff under a multidimensional NIG distribution and a barrier options in different markets." @default.
- W3099848468 created "2020-11-23" @default.
- W3099848468 creator A5027190882 @default.
- W3099848468 creator A5090083053 @default.
- W3099848468 date "2010-06-01" @default.
- W3099848468 modified "2023-10-09" @default.
- W3099848468 title "Unconstrained recursive importance sampling" @default.
- W3099848468 cites W1545370368 @default.
- W3099848468 cites W1568229137 @default.
- W3099848468 cites W1975193898 @default.
- W3099848468 cites W2045812569 @default.
- W3099848468 cites W2059607173 @default.
- W3099848468 cites W2065756054 @default.
- W3099848468 cites W2066897171 @default.
- W3099848468 cites W2097511294 @default.
- W3099848468 cites W2100100053 @default.
- W3099848468 cites W2128853308 @default.
- W3099848468 cites W2133555934 @default.
- W3099848468 cites W2163891345 @default.
- W3099848468 cites W4211215604 @default.
- W3099848468 cites W4293092461 @default.
- W3099848468 doi "https://doi.org/10.1214/09-aap650" @default.
- W3099848468 hasPublicationYear "2010" @default.
- W3099848468 type Work @default.
- W3099848468 sameAs 3099848468 @default.
- W3099848468 citedByCount "45" @default.
- W3099848468 countsByYear W30998484682012 @default.
- W3099848468 countsByYear W30998484682013 @default.
- W3099848468 countsByYear W30998484682014 @default.
- W3099848468 countsByYear W30998484682015 @default.
- W3099848468 countsByYear W30998484682016 @default.
- W3099848468 countsByYear W30998484682017 @default.
- W3099848468 countsByYear W30998484682018 @default.
- W3099848468 countsByYear W30998484682019 @default.
- W3099848468 countsByYear W30998484682020 @default.
- W3099848468 countsByYear W30998484682022 @default.
- W3099848468 countsByYear W30998484682023 @default.
- W3099848468 crossrefType "journal-article" @default.
- W3099848468 hasAuthorship W3099848468A5027190882 @default.
- W3099848468 hasAuthorship W3099848468A5090083053 @default.
- W3099848468 hasBestOaLocation W30998484681 @default.
- W3099848468 hasConcept C102634674 @default.
- W3099848468 hasConcept C104824951 @default.
- W3099848468 hasConcept C105795698 @default.
- W3099848468 hasConcept C111350023 @default.
- W3099848468 hasConcept C117251300 @default.
- W3099848468 hasConcept C126255220 @default.
- W3099848468 hasConcept C13153151 @default.
- W3099848468 hasConcept C134306372 @default.
- W3099848468 hasConcept C144237770 @default.
- W3099848468 hasConcept C187192777 @default.
- W3099848468 hasConcept C19499675 @default.
- W3099848468 hasConcept C22171661 @default.
- W3099848468 hasConcept C28826006 @default.
- W3099848468 hasConcept C33923547 @default.
- W3099848468 hasConcept C51955184 @default.
- W3099848468 hasConceptScore W3099848468C102634674 @default.
- W3099848468 hasConceptScore W3099848468C104824951 @default.
- W3099848468 hasConceptScore W3099848468C105795698 @default.
- W3099848468 hasConceptScore W3099848468C111350023 @default.
- W3099848468 hasConceptScore W3099848468C117251300 @default.
- W3099848468 hasConceptScore W3099848468C126255220 @default.
- W3099848468 hasConceptScore W3099848468C13153151 @default.
- W3099848468 hasConceptScore W3099848468C134306372 @default.
- W3099848468 hasConceptScore W3099848468C144237770 @default.
- W3099848468 hasConceptScore W3099848468C187192777 @default.
- W3099848468 hasConceptScore W3099848468C19499675 @default.
- W3099848468 hasConceptScore W3099848468C22171661 @default.
- W3099848468 hasConceptScore W3099848468C28826006 @default.
- W3099848468 hasConceptScore W3099848468C33923547 @default.
- W3099848468 hasConceptScore W3099848468C51955184 @default.
- W3099848468 hasIssue "3" @default.
- W3099848468 hasLocation W30998484681 @default.
- W3099848468 hasLocation W309984846810 @default.
- W3099848468 hasLocation W309984846811 @default.
- W3099848468 hasLocation W30998484682 @default.
- W3099848468 hasLocation W30998484683 @default.
- W3099848468 hasLocation W30998484684 @default.
- W3099848468 hasLocation W30998484685 @default.
- W3099848468 hasLocation W30998484686 @default.
- W3099848468 hasLocation W30998484687 @default.
- W3099848468 hasLocation W30998484688 @default.
- W3099848468 hasLocation W30998484689 @default.
- W3099848468 hasOpenAccess W3099848468 @default.
- W3099848468 hasPrimaryLocation W30998484681 @default.
- W3099848468 hasRelatedWork W1128521053 @default.
- W3099848468 hasRelatedWork W138213845 @default.
- W3099848468 hasRelatedWork W2566246927 @default.
- W3099848468 hasRelatedWork W2949552611 @default.
- W3099848468 hasRelatedWork W2952071048 @default.
- W3099848468 hasRelatedWork W2996843510 @default.
- W3099848468 hasRelatedWork W3091465394 @default.
- W3099848468 hasRelatedWork W4205709348 @default.
- W3099848468 hasRelatedWork W4302616869 @default.
- W3099848468 hasRelatedWork W65301958 @default.
- W3099848468 hasVolume "20" @default.
- W3099848468 isParatext "false" @default.
- W3099848468 isRetracted "false" @default.
- W3099848468 magId "3099848468" @default.
- W3099848468 workType "article" @default.