{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,9,27]],"date-time":"2025-09-27T03:34:12Z","timestamp":1758944052645,"version":"3.28.0"},"reference-count":32,"publisher":"IEEE","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"published-print":{"date-parts":[[2015,12]]},"DOI":"10.1109\/wsc.2015.7408538","type":"proceedings-article","created":{"date-parts":[[2016,5,7]],"date-time":"2016-05-07T09:42:38Z","timestamp":1462614158000},"page":"3813-3824","source":"Crossref","is-referenced-by-count":2,"title":["Optimal importance sampling for simulation of L\u00e9vy processes"],"prefix":"10.1109","author":[{"given":"Guangxin","family":"Jiang","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Michael C.","family":"Fu","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"family":"Chenglong Xu","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"263","reference":[{"key":"ref32","doi-asserted-by":"crossref","first-page":"27","DOI":"10.21314\/JCF.2002.081","article-title":"Optimal importance sampling in securities pricing","volume":"5","author":"su","year":"2002","journal-title":"Journal of Computational Finance"},{"key":"ref31","article-title":"Lectures on Stochastic Programming Modeling and Theory","author":"shapiro","year":"2009","journal-title":"Philadelphia SIAM-MPS"},{"key":"ref30","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-0507(03)10006-0"},{"key":"ref10","doi-asserted-by":"publisher","DOI":"10.2307\/3318481"},{"key":"ref11","doi-asserted-by":"publisher","DOI":"10.1007\/978-0-8176-4545-8_2"},{"key":"ref12","first-page":"2003","author":"glasserman","year":"0","journal-title":"Monte Carlo Methods in Financial Engineering"},{"key":"ref13","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9965.00065"},{"key":"ref14","doi-asserted-by":"publisher","DOI":"10.1287\/opre.1100.0837"},{"key":"ref15","article-title":"On sample average approximation algorithms for determining the optimal importance sampling parameters in pricing financial derivatives on L&#x00E9;vy processes","author":"jiang","year":"2015","journal-title":"Working Paper"},{"key":"ref16","doi-asserted-by":"publisher","DOI":"10.1214\/09-AAP595"},{"key":"ref17","doi-asserted-by":"publisher","DOI":"10.1515\/156939606777488833"},{"key":"ref18","doi-asserted-by":"publisher","DOI":"10.1007\/s11009-007-9043-5"},{"key":"ref19","doi-asserted-by":"publisher","DOI":"10.1137\/070680564"},{"key":"ref28","doi-asserted-by":"crossref","DOI":"10.1002\/0470870230","author":"schoutens","year":"2003","journal-title":"Le?vy Processes in Finance Pricing Financial Derivatives"},{"key":"ref4","doi-asserted-by":"publisher","DOI":"10.1086\/338705"},{"key":"ref27","doi-asserted-by":"publisher","DOI":"10.1080\/13504860600658992"},{"key":"ref3","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9868.00282"},{"key":"ref6","doi-asserted-by":"crossref","first-page":"61","DOI":"10.21314\/JCF.1999.043","article-title":"Option valuation using the fast Fourier transform","volume":"2","author":"carr","year":"1999","journal-title":"Journal of Computational Finance"},{"key":"ref29","first-page":"335","article-title":"L&#x00E9;vy processes, polynomials and martingales","volume":"14","author":"schoutens","year":"1998","journal-title":"Communications in Statistics"},{"key":"ref5","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9965.00020"},{"key":"ref8","doi-asserted-by":"publisher","DOI":"10.1137\/S0036142903436186"},{"key":"ref7","first-page":"27","article-title":"Representing the CGMY and Meixner L&#x00E9;vy processes as time changed Brownian motions","volume":"2","author":"carr","year":"2008","journal-title":"Journal of Computational Finance"},{"key":"ref2","article-title":"Normal inverse Gaussian distributions and the modeling of stock returns","author":"barndorff-nielsen","year":"1995","journal-title":"Technical report Department of Theoretical Statistics Aarhus University"},{"key":"ref9","doi-asserted-by":"publisher","DOI":"10.1016\/j.ejor.2012.03.046"},{"key":"ref1","article-title":"Importance sampling for jump processes and applications to finance","author":"badouraly-kassim","year":"2015","journal-title":"Journal of Computational Finance"},{"key":"ref20","doi-asserted-by":"publisher","DOI":"10.1145\/1734222.1734225"},{"article-title":"Stochastic Approximation and Recursive Algorithms and Applications","year":"2003","author":"kushner","key":"ref22"},{"key":"ref21","first-page":"207","article-title":"A guide to sample-average approximation","volume":"8","author":"kim","year":"2014","journal-title":"Handbook of Simulation Optimization"},{"key":"ref24","doi-asserted-by":"publisher","DOI":"10.1515\/mcma.2011.002"},{"key":"ref23","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-642-17254-0_21"},{"key":"ref26","doi-asserted-by":"publisher","DOI":"10.1086\/296519"},{"key":"ref25","doi-asserted-by":"publisher","DOI":"10.1214\/09-AAP650"}],"event":{"name":"2015 Winter Simulation Conference (WSC)","start":{"date-parts":[[2015,12,6]]},"location":"Huntington Beach, CA, USA","end":{"date-parts":[[2015,12,9]]}},"container-title":["2015 Winter Simulation Conference (WSC)"],"original-title":[],"link":[{"URL":"http:\/\/xplorestaging.ieee.org\/ielx7\/7399125\/7408148\/07408538.pdf?arnumber=7408538","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,6,16]],"date-time":"2024-06-16T08:01:03Z","timestamp":1718524863000},"score":1,"resource":{"primary":{"URL":"http:\/\/ieeexplore.ieee.org\/document\/7408538\/"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2015,12]]},"references-count":32,"URL":"https:\/\/doi.org\/10.1109\/wsc.2015.7408538","relation":{},"subject":[],"published":{"date-parts":[[2015,12]]}}}