Importance Sampling
Posted by andrea.odetti on May 20, 2002; 11:35am
URL: http://quantlib.414.s1.nabble.com/Importance-Sampling-tp2069.html
Hi guys,
I'm tring to introduce importance sampling into the MonteCarlo Framework of
QuantLib but I have some problems.
I think a good place to work is the class
RandomNumbers::RandomArrayGenerator where in the method next() I can change
the value of next_weight, but:
1) I would like to know the value of the Brownian Motion that is the value
of sqrtCovariance_ * next_.value (but without the DT into the
sqrtCovaraince)
2) I don't know the value of the sum of all weight until the end of the
simulation.
Actually, I'm using the Girsanov Theorem to change the drift of my process,
but I should multiply the payoff for each path by (in the case of a single
asset, with only one step in time)
exp(-h * W(T) - 0.5 * h^2 * T)
is there anybody who has an idea, about where i should work?
bye bye
andrea