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Optimal importance sampling for simulation of Lévy processes | IEEE Conference Publication | IEEE Xplore

Optimal importance sampling for simulation of Lévy processes


Abstract:

This paper provides an efficient algorithm using Newton's method under sample average approximation (SAA) to solve the parametric optimization problem associated with the...Show More

Abstract:

This paper provides an efficient algorithm using Newton's method under sample average approximation (SAA) to solve the parametric optimization problem associated with the optimal importance sampling change of measure in simulating Lévy processes. Numerical experiments on variance gamma (VG), geometric Brownian motion (GBM), and normal inverse Gaussian (NIG) examples illustrate the computational advantages of the SAA-Newton algorithm over stochastic approximation (SA) based algorithms.
Date of Conference: 06-09 December 2015
Date Added to IEEE Xplore: 18 February 2016
ISBN Information:
Electronic ISSN: 1558-4305
Conference Location: Huntington Beach, CA, USA

References

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