Importance sampling for jump–diffusions via cross-entropy

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Bibliographic Details
Published in:The journal of computational finance 2018-06, Vol.22 (1), p.107-130
Main Authors: Rieke, Rebecca, Sun, Weifeng, Wang, Hui
Format: Article
Language:English
Online Access:Get full text
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ISSN:1460-1559
DOI:10.21314/JCF.2018.349