Unbiased Sensitivity Estimation of One-Dimensional Diffusion Processes
DOI10.1287/MOOR.2017.0926zbMATH Open1477.65015OpenAlexW2807781982MaRDI QIDQ5219720FDOQ5219720
Authors: Wanmo Kang, Jong Mun Lee 
Publication date: 12 March 2020
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/moor.2017.0926
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unbiased estimatorderivative estimationGreekssensitivity estimationBeskos-Roberts methodPoisson kernel method
Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60) Diffusion processes (60J60) Numerical solutions to stochastic differential and integral equations (65C30)
Cites Work
- Applications of Malliavin calculus to Monte Carlo methods in finance
- Retrospective exact simulation of diffusion sample paths with applications
- Stochastic simulation: Algorithms and analysis
- Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
- Title not available (Why is that?)
- Exact simulation of diffusions
- Exact Sampling of Jump Diffusions
- Localization and Exact Simulation of Brownian Motion-Driven Stochastic Differential Equations
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
- Exact simulation of jump-diffusion processes with Monte Carlo applications
- A factorisation of diffusion measure and finite sample path constructions
- Applications of Malliavin calculus to Monte-Carlo methods in finance. II
- Estimating Security Price Derivatives Using Simulation
- Title not available (Why is that?)
- On the computation of option prices and Greeks under the CEV model
- Exact retrospective Monte Carlo computation of arithmetic average Asian options
- Brownian meanders, importance sampling and unbiased simulation of diffusion extremes
Cited In (4)
- Computation of sensitivities for the invariant measure of a parameter dependent diffusion
- Second order probabilistic parametrix method for unbiased simulation of stochastic differential equations
- Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates
- Brownian meanders, importance sampling and unbiased simulation of diffusion extremes
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