An exact method for the sensitivity analysis of systems simulated by rejection techniques

DOI10.1016/j.ejor.2016.04.024zbMath1346.90254OpenAlexW3123735599MaRDI QIDQ323427

Dan Zhu, Mark S. Joshi

Publication date: 7 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2016.04.024

zbMATH Keywords

sensitivity analysisMonte Carlo simulationqueuing theoryacceptance-rejection samplingoption pricing under Lévy processes

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Monte Carlo methods (65C05) Sensitivity, stability, parametric optimization (90C31) Queues and service in operations research (90B22) Derivative securities (option pricing, hedging, etc.) (91G20)

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THE EFFICIENT COMPUTATION AND THE SENSITIVITY ANALYSIS OF FINITE-TIME RUIN PROBABILITIES AND THE ESTIMATION OF RISK-BASED REGULATORY CAPITAL ⋮ A systematic and efficient simulation scheme for the Greeks of financial derivatives

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