Unbiased Sensitivity Estimation of One-Dimensional Diffusion Processes

DOI10.1287/moor.2017.0926zbMath1477.65015MaRDI QIDQ5219720

Jong Mun Lee, Wanmo Kang

Publication date: 12 March 2020

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/moor.2017.0926

zbMATH Keywords

derivative estimation; Greeks; unbiased estimator; sensitivity estimation; Beskos-Roberts method; Poisson kernel method

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods

60J60: Diffusion processes

65C30: Numerical solutions to stochastic differential and integral equations

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Second order probabilistic parametrix method for unbiased simulation of stochastic differential equations

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