Variance comparison between infinitesimal perturbation analysis and likelihood ratio estimators to stochastic gradient (Q2670503): Difference between revisions

@@ Property / author @@
-Zhen-Yu Cui
@@ Property / author: Zhen-Yu Cui / rank @@
-Normal rank
@@ Property / author @@
+Zhen-Yu Cui
@@ Property / author: Zhen-Yu Cui / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.orl.2022.01.012
+Normal rank
@@ Property / OpenAlex ID @@
+W4226432947
@@ Property / OpenAlex ID: W4226432947 / rank @@
+Normal rank
@@ Property / cites work @@
+Estimating Security Price Derivatives Using Simulation
+Normal rank
@@ Property / cites work @@
+Q3386773
@@ Property / cites work: Q3386773 / rank @@
+Normal rank
@@ Property / cites work @@
+Applications of Malliavin calculus to Monte Carlo methods in finance
+Normal rank
@@ Property / cites work @@
+Q4433608
@@ Property / cites work: Q4433608 / rank @@
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Estimating Quantile Sensitivities
@@ Property / cites work: Estimating Quantile Sensitivities / rank @@
+Normal rank
@@ Property / cites work @@
+A Jump-Diffusion Model for Option Pricing
@@ Property / cites work: A Jump-Diffusion Model for Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+The Variance Gamma Process and Option Pricing
@@ Property / cites work: The Variance Gamma Process and Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+Q4969241
@@ Property / cites work: Q4969241 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:2670503