Monte Carlo methods for derivatives of options with discontinuous payoffs
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Publication:1019974
DOI10.1016/j.csda.2006.08.032zbMath1161.62420OpenAlexW1978687634MaRDI QIDQ1019974
Marcel Rindisbacher, Jérôme B. Detemple
Publication date: 29 May 2009
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2006.08.032
weak convergencesimulationlikelihood ratioderivative estimationcovariationsecond-order biasMalliavin weight
Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05)
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