"On sample average approximation algorithms for determining the optimal ..."

Guangxin Jiang, Chenglong Xu, Michael C. Fu (2016)

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DOI: 10.1016/J.ORL.2015.11.004

access: closed

type: Journal Article

metadata version: 2019-11-20

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Guangxin Jiang, Chenglong Xu, Michael C. Fu:
On sample average approximation algorithms for determining the optimal importance sampling parameters in pricing financial derivatives on Lévy processes. Oper. Res. Lett. 44(1): 44-49 (2016)

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