A New Stochastic Derivative Estimator for Discontinuous Payoff Functions with Application to Financial Derivatives (Q2917637)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A New Stochastic Derivative Estimator for Discontinuous Payoff Functions with Application to Financial Derivatives |
scientific article |
Statements
A New Stochastic Derivative Estimator for Discontinuous Payoff Functions with Application to Financial Derivatives (English)
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1 October 2012
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price sensitivity
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infinitesimal perturbation analysis
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simulation
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derivative estimation
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likelihood ratio
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option pricing
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stochastic approximation
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