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"Large and moderate deviations for importance sampling in the Heston model."

Marc Geha, Antoine Jacquier, Zan Zuric (2024)

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DOI: 10.1007/S10479-023-05424-0

access: open

type: Journal Article

metadata version: 2024-06-08

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  dblp key:
  - journals/anor/GehaJZ24
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  - https://dblp.org/rec/journals/anor/GehaJZ24
Marc Geha, Antoine Jacquier, Zan Zuric:
Large and moderate deviations for importance sampling in the Heston model. Ann. Oper. Res. 336(1-2): 47-92 (2024)

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