| Efficient important sampling with p-order relative centered moment minimization and application to pricing options | |
| Gao, Quansheng; Chen, Gao-bo | |
| 2008 | |
| 会议名称 | International Conference on Risk and Reliability Management (RRM 2008) |
| 会议日期 | NOV 10-12, 2008 |
| 会议地点 | Beijing Inst Technol, Sch Management & Econ, Beijing, PEOPLES R CHINA |
| 关键词 | centered moment of order p efficient importance sampling option pricing |
| 页码 | 15-20 |
| 会议录 | PROCEEDINGS OF 2008 INTERNATIONAL CONFERENCE ON RISK AND RELIABILITY MANAGEMENT, VOLS I AND II
 |
| URL标识 | 查看原文 |
| WOS记录号 | WOS:000261018500004 |
| 内容类型 | 会议论文 |
| URI标识 | http://www.corc.org.cn/handle/1471x/5583693 |
| 专题 | 武汉轻工大学 |
| 作者单位 | 1.[Chen, Gao-bo 2.Gao, Quansheng] Wuhan Polytech Univ, Dept Math & Phys, Wuhan 430023, Peoples R China. |
| 推荐引用方式 GB/T 7714 | Gao, Quansheng,Chen, Gao-bo. Efficient important sampling with p-order relative centered moment minimization and application to pricing options[C]. 见:International Conference on Risk and Reliability Management (RRM 2008). Beijing Inst Technol, Sch Management & Econ, Beijing, PEOPLES R CHINA. NOV 10-12, 2008. |
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