Likelihood ratio gradient estimation for Meixner distribution and Lévy processes (Q2512758): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 07:25, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Likelihood ratio gradient estimation for Meixner distribution and Lévy processes |
scientific article |
Statements
Likelihood ratio gradient estimation for Meixner distribution and Lévy processes (English)
0 references
30 January 2015
0 references
acceptance-rejection sampling
0 references
Esscher density transform
0 references
Greeks
0 references
Lévy process
0 references
likelihood ratio method
0 references
Meixner distribution
0 references
Meixner process
0 references
Monte Carlo simulation
0 references
