Importance Sampling for Option Greeks with Discontinuous Payoffs (Q3186649): Difference between revisions

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-.1287/ijoc.2015.0674
@@ Property / DOI: 10.1287/ijoc.2015.0674 / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1287/ijoc.2015.0674
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@@ Property / OpenAlex ID @@
+W2278747027
@@ Property / OpenAlex ID: W2278747027 / rank @@
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@@ Property / cites work @@
+Optimal Malliavin Weighting Function for the Computation of the Greeks
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@@ Property / cites work @@
+Monte Carlo Evaluation of Greeks for Multidimensional Barrier and Lookback Options
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+Estimating Security Price Derivatives Using Simulation
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+FAST MONTE CARLO GREEKS FOR FINANCIAL PRODUCTS WITH DISCONTINUOUS PAY-OFFS
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+Malliavin Greeks without Malliavin calculus
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+Applications of Malliavin calculus to Monte-Carlo methods in finance. II
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+Smoothed (conditional) perturbation analysis of discrete event dynamical systems
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+Perturbation analysis and optimization of queueing networks
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+Kernel Estimation of the Greeks for Options with Discontinuous Payoffs
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+Unbiased and efficient Greeks of financial options
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+Probability Gradient Estimation by Set-Valued Calculus and Applications in Network Design
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+Q4340161
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+A New Stochastic Derivative Estimator for Discontinuous Payoff Functions with Application to Financial Derivatives
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@@ Property / DOI @@
+.1287/IJOC.2015.0674
@@ Property / DOI: 10.1287/IJOC.2015.0674 / rank @@
+Normal rank