A New Stochastic Derivative Estimator for Discontinuous Payoff Functions with Application to Financial Derivatives
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Publication:2917637
DOI10.1287/opre.1110.1018zbMath1342.62167OpenAlexW2009485448MaRDI QIDQ2917637
Steven I. Marcus, Michael C. Fu, Yong-Qiang Wang
Publication date: 1 October 2012
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/opre.1110.1018
simulationstochastic approximationoption pricinglikelihood ratioderivative estimationinfinitesimal perturbation analysisprice sensitivity
Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)
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