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An efficient exponential twisting importance sampling technique for pricing financial derivatives |
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| Authors: | Junmei Ma Kun Du Guiding Gu |
| Affiliation: | 1. School of Mathematics, Shanghai University of Finance and Economics, Shanghai Key Laboratory of Financial Information Technology, Shanghai, China;2. Key Laboratory of Applied Mathematics, Putian University, Fujian, Putian, China;3. School of Finance, Shanghai University of Finance and Economics, Shanghai, China |
| Abstract: | |
| Keywords: | Efficient importance sampling exponential twisting least square |