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Asymptotically Optimal Importance Sampling and Stratification for Pricing Path‐Dependent Options

Citations

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Cited by:

  1. Xueping Wu & Jin Zhang, 1999. "Options on the minimum or the maximum of two average prices," Review of Derivatives Research, Springer, vol. 3(2), pages 183-204, May.
  2. Han, Chulwoo & Park, Frank C., 2022. "A geometric framework for covariance dynamics," Journal of Banking & Finance, Elsevier, vol. 134(C).
  3. Bernard Lapeyre & J'er^ome Lelong, 2010. "A framework for adaptive Monte-Carlo procedures," Papers 1001.3551, arXiv.org, revised Jul 2010.
  4. Adam W. Kolkiewicz, 2016. "Efficient Hedging Of Path–Dependent Options," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(05), pages 1-27, August.
  5. Hernan P. Awad & Peter W. Glynn & Reuven Y. Rubinstein, 2013. "Zero-Variance Importance Sampling Estimators for Markov Process Expectations," Mathematics of Operations Research, INFORMS, vol. 38(2), pages 358-388, May.
  6. Paul Glasserman & Jeremy Staum, 2001. "Conditioning on One-Step Survival for Barrier Option Simulations," Operations Research, INFORMS, vol. 49(6), pages 923-937, December.
  7. Pierre Étoré & Benjamin Jourdain, 2010. "Adaptive Optimal Allocation in Stratified Sampling Methods," Methodology and Computing in Applied Probability, Springer, vol. 12(3), pages 335-360, September.
  8. Hejin Wang & Zhan Zheng, 2024. "Randomly Shifted Lattice Rules with Importance Sampling and Applications," Mathematics, MDPI, vol. 12(5), pages 1-20, February.
  9. Yun-Feng Tu & Chuan-Hsiang Han, 2025. "Efficient Importance Sampling under Heston Model: Short Maturity and Deep Out-of-the-Money Options," Papers 2511.19826, arXiv.org.
  10. Adrien Genin & Peter Tankov, 2016. "Optimal importance sampling for L\'evy Processes," Papers 1608.04621, arXiv.org.
  11. Ma, Xiaocui & Xi, Fubao, 2017. "Moderate deviations for neutral stochastic differential delay equations with jumps," Statistics & Probability Letters, Elsevier, vol. 126(C), pages 97-107.
  12. Dan Pirjol & Lingjiong Zhu, 2017. "Asymptotics for the Euler-Discretized Hull-White Stochastic Volatility Model," Papers 1707.00899, arXiv.org.
  13. Dingeç, Kemal Dinçer & Hörmann, Wolfgang, 2013. "Control variates and conditional Monte Carlo for basket and Asian options," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 421-434.
  14. Paolo Guasoni & Scott Robertson, 2008. "Optimal importance sampling with explicit formulas in continuous time," Finance and Stochastics, Springer, vol. 12(1), pages 1-19, January.
  15. dos Reis, Gonçalo & Smith, Greig & Tankov, Peter, 2023. "Importance sampling for McKean-Vlasov SDEs," Applied Mathematics and Computation, Elsevier, vol. 453(C).
  16. Riccardo Gozzo, 2025. "Adaptive Multilevel Splitting: First Application to Rare-Event Derivative Pricing," Papers 2510.23461, arXiv.org, revised Nov 2025.
  17. Ye Xiao & Xiaoqun Wang, 2019. "Enhancing Quasi-Monte Carlo Simulation by Minimizing Effective Dimension for Derivative Pricing," Computational Economics, Springer;Society for Computational Economics, vol. 54(1), pages 343-366, June.
  18. Xiaoqun Wang & Ian H. Sloan, 2011. "Quasi-Monte Carlo Methods in Financial Engineering: An Equivalence Principle and Dimension Reduction," Operations Research, INFORMS, vol. 59(1), pages 80-95, February.
  19. Fredrik Åkesson & John P. Lehoczky, 2000. "Path Generation for Quasi-Monte Carlo Simulation of Mortgage-Backed Securities," Management Science, INFORMS, vol. 46(9), pages 1171-1187, September.
  20. Paul Glasserman & Jingyi Li, 2005. "Importance Sampling for Portfolio Credit Risk," Management Science, INFORMS, vol. 51(11), pages 1643-1656, November.
  21. Kahalé, Nabil, 2020. "General multilevel Monte Carlo methods for pricing discretely monitored Asian options," European Journal of Operational Research, Elsevier, vol. 287(2), pages 739-748.
  22. Kawai Reiichiro, 2007. "Adaptive Monte Carlo Variance Reduction with Two-time-scale Stochastic Approximation," Monte Carlo Methods and Applications, De Gruyter, vol. 13(3), pages 197-217, August.
  23. Hatem Ben-Ameur & Michèle Breton & Pierre L'Ecuyer, 2002. "A Dynamic Programming Procedure for Pricing American-Style Asian Options," Management Science, INFORMS, vol. 48(5), pages 625-643, May.
  24. Asmussen, Søren & Fuckerieder, Pascal & Jobmann, Manfred & Schwefel, Hans-Peter, 2002. "Large deviations and fast simulation in the presence of boundaries," Stochastic Processes and their Applications, Elsevier, vol. 102(1), pages 1-23, November.
  25. Paul Glasserman & Philip Heidelberger & Perwez Shahabuddin, 2000. "Variance Reduction Techniques for Estimating Value-at-Risk," Management Science, INFORMS, vol. 46(10), pages 1349-1364, October.
  26. Shing Chih Tsai & Jun Luo & Chi Ching Sung, 2017. "Combined variance reduction techniques in fully sequential selection procedures," Naval Research Logistics (NRL), John Wiley & Sons, vol. 64(6), pages 502-527, September.
  27. Shih-Kuei Lin & Ren-Her Wang & Cheng-Der Fuh, 2006. "Risk Management for Linear and Non-Linear Assets: A Bootstrap Method with Importance Resampling to Evaluate Value-at-Risk," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(3), pages 261-295, September.
  28. Huei-Wen Teng & Cheng-Der Fuh & Chun-Chieh Chen, 2016. "On an automatic and optimal importance sampling approach with applications in finance," Quantitative Finance, Taylor & Francis Journals, vol. 16(8), pages 1259-1271, August.
  29. Pierre Etore & Gersende Fort & Benjamin Jourdain & Eric Moulines, 2011. "On adaptive stratification," Annals of Operations Research, Springer, vol. 189(1), pages 127-154, September.
  30. Nabil Kahalé, 2020. "Randomized Dimension Reduction for Monte Carlo Simulations," Management Science, INFORMS, vol. 66(3), pages 1421-1439, March.
  31. Halis Sak & .Ismail Bac{s}ou{g}lu, 2015. "Efficient Randomized Quasi-Monte Carlo Methods For Portfolio Market Risk," Papers 1510.01593, arXiv.org.
  32. Xiaoqun Wang & Ken Seng Tan, 2013. "Pricing and Hedging with Discontinuous Functions: Quasi-Monte Carlo Methods and Dimension Reduction," Management Science, INFORMS, vol. 59(2), pages 376-389, July.
  33. Lapeyre Bernard & Lelong Jérôme, 2011. "A framework for adaptive Monte Carlo procedures," Monte Carlo Methods and Applications, De Gruyter, vol. 17(1), pages 77-98, January.
  34. Louis-Pierre Arguin & Nien-Lin Liu & Tai-Ho Wang, 2018. "Most-Likely-Path In Asian Option Pricing Under Local Volatility Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(05), pages 1-32, August.
  35. Arouna Bouhari, 2004. "Adaptative Monte Carlo Method, A Variance Reduction Technique," Monte Carlo Methods and Applications, De Gruyter, vol. 10(1), pages 1-24, March.
  36. Guangxin Jiang & L. Jeff Hong & Haihui Shen, 2024. "Real-Time Derivative Pricing and Hedging with Consistent Metamodels," INFORMS Journal on Computing, INFORMS, vol. 36(5), pages 1168-1189, September.
  37. Lütkebohmert, Eva & Sester, Julian, 2025. "Measuring name concentrations through deep learning," International Review of Financial Analysis, Elsevier, vol. 107(C).
  38. Lu, King-Jeng & Liang, Chiung-Ju & Hsieh, Ming-Hua & Lee, Yi-Hsi, 2020. "An effective hybrid variance reduction method for pricing the Asian options and its variants," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  39. Zorana Grbac & David Krief & Peter Tankov, 2018. "Long-time trajectorial large deviations for affine stochastic volatility models and application to variance reduction for option pricing," Papers 1809.06153, arXiv.org.
  40. Sak, Halis & Hörmann, Wolfgang & Leydold, Josef, 2010. "Efficient risk simulations for linear asset portfolios in the t-copula model," European Journal of Operational Research, Elsevier, vol. 202(3), pages 802-809, May.
  41. Huyen Pham, 2007. "Some applications and methods of large deviations in finance and insurance," Papers math/0702473, arXiv.org, revised Feb 2007.
  42. Sak, Halis & Başoğlu, İsmail, 2017. "Efficient randomized quasi-Monte Carlo methods for portfolio market risk," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 87-94.
  43. Dan Pirjol & Lingjiong Zhu, 2018. "Asymptotics for the Euler-Discretized Hull-White Stochastic Volatility Model," Methodology and Computing in Applied Probability, Springer, vol. 20(1), pages 289-331, March.
  44. Louis-Pierre Arguin & Nien-Lin Liu & Tai-Ho Wang, 2017. "Most-likely-path in Asian option pricing under local volatility models," Papers 1706.02408, arXiv.org, revised Aug 2018.
  45. Genin, Adrien & Tankov, Peter, 2020. "Optimal importance sampling for Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 130(1), pages 20-46.
  46. Nabil Kahale, 2018. "General multilevel Monte Carlo methods for pricing discretely monitored Asian options," Papers 1805.09427, arXiv.org, revised Sep 2018.
  47. Huei-Wen Teng & Ming-Hsuan Kang, 2022. "On Accelerating Monte Carlo Integration Using Orthogonal Projections," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 1143-1168, June.
  48. Frikha Noufel & Sagna Abass, 2012. "Quantization based recursive importance sampling," Monte Carlo Methods and Applications, De Gruyter, vol. 18(4), pages 287-326, December.
  49. Pierre L'Ecuyer & Christiane Lemieux, 2000. "Variance Reduction via Lattice Rules," Management Science, INFORMS, vol. 46(9), pages 1214-1235, September.
  50. Samim Ghamami & Bo Zhang, 2014. "Efficient Monte Carlo Counterparty Credit Risk Pricing and Measurement," Finance and Economics Discussion Series 2014-114, Board of Governors of the Federal Reserve System (U.S.).
  51. L. Jeff Hong & Guangxin Jiang, 2019. "Offline Simulation Online Application: A New Framework of Simulation-Based Decision Making," Asia-Pacific Journal of Operational Research (APJOR), World Scientific Publishing Co. Pte. Ltd., vol. 36(06), pages 1-22, December.
  52. Sak Halis, 2010. "Increasing the number of inner replications of multifactor portfolio credit risk simulation in the t-copula model," Monte Carlo Methods and Applications, De Gruyter, vol. 16(3-4), pages 361-377, January.
  53. Zhijian He & Xiaoqun Wang, 2021. "An Integrated Quasi-Monte Carlo Method for Handling High Dimensional Problems with Discontinuities in Financial Engineering," Computational Economics, Springer;Society for Computational Economics, vol. 57(2), pages 693-718, February.
  54. Alaya, Mohamed Ben & Hajji, Kaouther & Kebaier, Ahmed, 2016. "Importance sampling and statistical Romberg method for Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 126(7), pages 1901-1931.
  55. Reiichiro Kawai, 2008. "Adaptive Monte Carlo Variance Reduction for Lévy Processes with Two-Time-Scale Stochastic Approximation," Methodology and Computing in Applied Probability, Springer, vol. 10(2), pages 199-223, June.
  56. Robertson, Scott, 2010. "Sample path Large Deviations and optimal importance sampling for stochastic volatility models," Stochastic Processes and their Applications, Elsevier, vol. 120(1), pages 66-83, January.
  57. Aleksandar Arandjelović & Thorsten Rheinländer & Pavel V. Shevchenko, 2025. "Importance sampling for option pricing with feedforward neural networks," Finance and Stochastics, Springer, vol. 29(1), pages 97-141, January.
  58. Cheng-Der Fuh & Yanwei Jia & Steven Kou, 2023. "A General Framework for Importance Sampling with Markov Random Walks," Papers 2311.12330, arXiv.org, revised Oct 2025.
  59. Bendera, Christian & Moseler, Thilo, 2008. "Importance sampling for backward SDEs," CoFE Discussion Papers 08/11, University of Konstanz, Center of Finance and Econometrics (CoFE).
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