A new stochastic derivative estimator for discontinuous payoff functions with application to financial derivatives (Q2917637)
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scientific article; zbMATH DE number 6088888
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| default for all languages | No label defined |
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| English | A new stochastic derivative estimator for discontinuous payoff functions with application to financial derivatives |
scientific article; zbMATH DE number 6088888 |
Statements
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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A new stochastic derivative estimator for discontinuous payoff functions with application to financial derivatives (English)
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0.8146480321884155
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0.7792119383811951
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0.7738281488418579
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0.7719518542289734
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0.7667552828788757
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