Unbiased Sensitivity Estimation of One-Dimensional Diffusion Processes
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Publication:5219720
DOI10.1287/moor.2017.0926zbMath1477.65015OpenAlexW2807781982MaRDI 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 estimationGreeksunbiased estimatorsensitivity estimationBeskos-Roberts methodPoisson kernel method
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Diffusion processes (60J60) Numerical solutions to stochastic differential and integral equations (65C30)
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Second order probabilistic parametrix method for unbiased simulation of stochastic differential equations ⋮ Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates
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