[R-SIG-Finance] Importance Sampling

[Daniel Melendez]

Hello All -

I am trying to simulate rare events (alpha = 0.001) using importance
sampling.  I currently have estimated parameters for an NIG distribution
but I am stuck on how to exactly choose the competing density?  Has anyone
ever used such a technique?  Any guidance would be greatly appreciated

-- 
Regards

Daniel Melendez

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