Combined Derivative Estimators-Reference-Cited by-同舟云学术

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Combined Derivative Estimators

Published:2022 Issue: Volume: Page:193-210
ISSN:
Container-title:Advances in Modeling and Simulation
language:
Short-container-title:

Author:

Glasserman Paul

Publisher

Springer International Publishing

Link

https://link.springer.com/content/pdf/10.1007/978-3-031-10193-9_10

Reference32 articles.

1. Avramidis, A., L’Ecuyer, P.: Efficient Monte Carlo and quasi-Monte Carlo option pricing under the variance gamma model. Manage. Sci. 52(12), 1930–1944 (2006)

2. Broadie, M., Glasserman, P.: Estimating security price derivatives using simulation. Manage. Sci. 42, 269–285 (1996)

3. Capriotti, L., Giles, M.B.: Algorithmic differentiation: adjoint Greeks made easy. Risk 25 (2012)

4. Chen, N., Glasserman, P.: Malliavin Greeks without Malliavin calculus. Stoch. Process. their Appl. 117, 1689–1723 (2007)

5. Fournié, E., Lasry, J.-M., Lebuchoux, J., Lions, Touzi, N.: Applications of Malliavin calculus to Monte Carlo methods in finance. Financ. Stoch. 3 391–412 (1999)

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1. Simulation Optimization in the New Era of AI;Tutorials in Operations Research: Advancing the Frontiers of OR/MS: From Methodologies to Applications;2023-10

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