Sensitivity Estimates from Characteristic Functions

DOI10.1287/opre.1100.0837zbMath1226.62016OpenAlexW2126342974MaRDI QIDQ3098327

Paul Glasserman, Zongjian Liu

Publication date: 17 November 2011

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

Full work available at URL: https://doi.org/10.1287/opre.1100.0837

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10) Characteristic functions; other transforms (60E10)

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