Unbiased Sensitivity Estimation of One-Dimensional Diffusion Processes
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Publication:5219720
DOI10.1287/moor.2017.0926zbMath1477.65015MaRDI QIDQ5219720
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
derivative estimation; Greeks; unbiased estimator; sensitivity estimation; Beskos-Roberts method; Poisson kernel method
91G60: Numerical methods (including Monte Carlo methods)
65C05: Monte Carlo methods
60J60: Diffusion processes
65C30: Numerical solutions to stochastic differential and integral equations