Unbiased Sensitivity Estimation of One-Dimensional Diffusion Processes (Q5219720)
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scientific article; zbMATH DE number 7179964
| Language | Label | Description | Also known as |
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| English | Unbiased Sensitivity Estimation of One-Dimensional Diffusion Processes |
scientific article; zbMATH DE number 7179964 |
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Unbiased Sensitivity Estimation of One-Dimensional Diffusion Processes (English)
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12 March 2020
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unbiased estimator
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sensitivity estimation
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derivative estimation
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Greeks
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Beskos-Roberts method
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Poisson kernel method
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0.9017594
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0.8830596
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0.8797475
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0.87954617
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0.8733629
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0.87114656
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0.8702079
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