Denoising Monte Carlo sensitivity estimates
From MaRDI portal
Publication:439916
DOI10.1016/j.orl.2012.01.006zbMath1250.65010MaRDI QIDQ439916
Hayong Shin, Wanmo Kang, Kyoung-Kuk Kim
Publication date: 17 August 2012
Published in: Operations Research Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.orl.2012.01.006
numerical experiments; Monte Carlo methods; denoising; financial applications; near-interpolation; sensitivity estimation
91G60: Numerical methods (including Monte Carlo methods)
65C05: Monte Carlo methods
65D05: Numerical interpolation
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