Variance comparison between infinitesimal perturbation analysis and likelihood ratio estimators to stochastic gradient
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Publication:2670503
DOI10.1016/j.orl.2022.01.012MaRDI QIDQ2670503
Yanchu Liu, Ruodu Wang, Zhen-Yu Cui
Publication date: 11 March 2022
Published in: Operations Research Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.orl.2022.01.012
likelihood ratio; infinitesimal perturbation analysis; stochastic gradient; option delta; variance comparison
90-XX: Operations research, mathematical programming
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