Thorsten Sauder

Independent

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Scholarly Papers (1)

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Importance Sampling and Mm-Algorithms with Applications to Options Pricing

Number of pages: 23 Posted: 12 Sep 2005
Thorsten Sauder
Independent
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Abstract:

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Monte Carlo Methods, Importance Sampling, Majorization/Minimization-Algorithm, Surrogate-Function, M-Estimators, Financial Derivatives