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

zbMATH Keywords

unbiased estimatorderivative estimationGreekssensitivity estimationBeskos-Roberts methodPoisson kernel method

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60) Diffusion processes (60J60) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

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• Exact simulation of diffusions
• Exact simulation of jump-diffusion processes with Monte Carlo applications
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Cited in

(7)

• Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates
• Unbiased simulation of stochastic differential equations using parametrix expansions
• Computation of sensitivities for the invariant measure of a parameter dependent diffusion
• Second order probabilistic parametrix method for unbiased simulation of stochastic differential equations
• Unbiased Monte Carlo estimate of stochastic differential equations expectations
• Brownian meanders, importance sampling and unbiased simulation of diffusion extremes
• Unbiased simulation of stochastic differential equations

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