Denoising Monte Carlo sensitivity estimates

DOI10.1016/j.orl.2012.01.006zbMath1250.65010OpenAlexW2081170064MaRDI QIDQ439916

Hayong Shin, Wanmo Kang, Kyoung-Kuk Kim

Publication date: 17 August 2012

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2012.01.006

zbMATH Keywords

numerical experimentsMonte Carlo methodsdenoisingfinancial applicationsnear-interpolationsensitivity estimation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Numerical interpolation (65D05)

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