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physics.soc-ph2007
Least Squares Importance Sampling for Monte Carlo Security Pricing
Luca Capriotti
We describe a simple Importance Sampling strategy for Monte Carlo simulations based on a least squares optimization procedure. With several numerical examples, we show that such Le…
physics.soc-ph2006
The Exponent Expansion: An Effective Approximation of Transition Probabilities of Diffusion Processes and Pricing Kernels of Financial Derivatives
Luca Capriotti
A computational technique borrowed from the physical sciences is introduced to obtain accurate closed-form approximations for the transition probability of arbitrary diffusion proc…