Large and moderate deviations for importance sampling in the Heston model (2023)

First Author: Geha M
Attributed to:  Rough Volatility: A Trojan horse into modern Financial computing funded by EPSRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.1007/s10479-023-05424-0

Publication URI: http://dx.doi.org/10.1007/s10479-023-05424-0

Type: Journal Article/Review

Parent Publication: Annals of Operations Research