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Unbiased Sensitivity Estimation of One-Dimensional Diffusion Processes - MaRDI portal

Unbiased Sensitivity Estimation of One-Dimensional Diffusion Processes (Q5219720)

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scientific article; zbMATH DE number 7179964
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English
Unbiased Sensitivity Estimation of One-Dimensional Diffusion Processes
scientific article; zbMATH DE number 7179964

    Statements

    title
    Unbiased Sensitivity Estimation of One-Dimensional Diffusion Processes (English)
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    author
    Wanmo Kang
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    Jong Mun Lee
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    publication date
    12 March 2020
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    zbMATH Keywords
    unbiased estimator
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    sensitivity estimation
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    derivative estimation
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    Greeks
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    Beskos-Roberts method
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    Poisson kernel method
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    Identifiers

    Mathematics Subject Classification ID
    65C05
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    65C30
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    60J60
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    91G60
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    zbMATH DE Number
    7179964
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    OpenAlex ID
    W2807781982
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