On the Convergence Rates of IPA and FDC Derivative Estimators
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DOI: 10.1287/opre.42.4.643
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Cited by:
- Hendrik Kohrs & Hermann Mühlichen & Benjamin R. Auer & Frank Schuhmacher, 2019. "Pricing and risk of swing contracts in natural gas markets," Review of Derivatives Research, Springer, vol. 22(1), pages 77-167, April.
- Sidney Yakowitz & Pierre L'Ecuyer & Felisa Vázquez-Abad, 2000. "Global Stochastic Optimization with Low-Dispersion Point Sets," Operations Research, INFORMS, vol. 48(6), pages 939-950, December.
- Montero, Miquel & Kohatsu-Higa, Arturo, 2003. "Malliavin Calculus applied to finance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 320(C), pages 548-570.
- Boyle, Phelim & Broadie, Mark & Glasserman, Paul, 1997. "Monte Carlo methods for security pricing," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1267-1321, June.
- R. C. M. Brekelmans & L. T. Driessen & H. J. M. Hamers & D. Hertog, 2008.
"Gradient Estimation Using Lagrange Interpolation Polynomials,"
Journal of Optimization Theory and Applications, Springer, vol. 136(3), pages 341-357, March.
- Hamers, H.J.M. & Brekelmans, R.C.M. & Driessen, L. & den Hertog, D., 2003. "Gradient Estimation using Lagrange Interpolation Polynomials," Discussion Paper 2003-101, Tilburg University, Center for Economic Research.
- Brekelmans, R.C.M. & Driessen, L. & Hamers, H.J.M. & den Hertog, D., 2008. "Gradient estimation using Lagrange interpolation polynomials," Other publications TiSEM f089ae6a-d7c2-4863-a52d-a, Tilburg University, School of Economics and Management.
- Hamers, H.J.M. & Brekelmans, R.C.M. & Driessen, L. & den Hertog, D., 2003. "Gradient Estimation using Lagrange Interpolation Polynomials," Other publications TiSEM dfad278e-da66-4b83-8755-4, Tilburg University, School of Economics and Management.
- Pierre L’Ecuyer & Florian Puchhammer & Amal Ben Abdellah, 2022. "Monte Carlo and Quasi–Monte Carlo Density Estimation via Conditioning," INFORMS Journal on Computing, INFORMS, vol. 34(3), pages 1729-1748, May.
- Benhamou, Eric, 2000. "A generalisation of Malliavin weighted scheme for fast computation of the Greeks," LSE Research Online Documents on Economics 119105, London School of Economics and Political Science, LSE Library.
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Keywords
simulation: derivative estimation; sensitivity analysis;Statistics
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