A New Unbiased Stochastic Derivative Estimator for Discontinuous Sample Performances with Structural Parameters-Reference-Cited by-同舟云学术

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A New Unbiased Stochastic Derivative Estimator for Discontinuous Sample Performances with Structural Parameters

Published:2018-04 Issue:2 Volume:66 Page:487-499
ISSN:0030-364X
Container-title:Operations Research
language:en
Short-container-title:Operations Research

Author:

Peng Yijie¹^ORCID,Fu Michael C.²,Hu Jian-Qiang³,Heidergott Bernd⁴

Affiliation:

1. Department of Industrial Engineering and Management, College of Engineering, Peking University, Beijing 100871, China

2. The Robert H. Smith School of Business, Institute for Systems Research, University of Maryland, College Park, Maryland 20742

3. Department of Management Science, School of Management, Fudan University, Shanghai 200433, China

4. Department of Econometricsand Operations Research, Vrije Universiteit Amsterdam, 1081 HV Amsterdam, Netherlands

Publisher

Institute for Operations Research and the Management Sciences (INFORMS)

Subject

Management Science and Operations Research,Computer Science Applications

Reference36 articles.

1. Gradient-based simulation optimization under probability constraints

2. Stochastic Simulation: Algorithms and Analysis

3. Estimating Security Price Derivatives Using Simulation

4. SENSITIVITY ANALYSIS OF NONLINEAR BEHAVIOR WITH DISTORTED PROBABILITY

5. Malliavin Greeks without Malliavin calculus

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