Sensitivity estimation for Gaussian systems
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Kloeden Peter E. & Sanz-Chacón Carlos, 2011. "Efficient price sensitivity estimation of financial derivatives by weak derivatives," Monte Carlo Methods and Applications, De Gruyter, vol. 17(1), pages 47-75, January.
- Jiun Hong Chan and Mark Joshi, 2012. "Optimal Limit Methods for Computing Sensitivities of," Department of Economics - Working Papers Series 1142, The University of Melbourne.
- Bernd Heidergott & Warren Volk-Makarewicz, 2013. "A Measure-Valued Differentiation Approach to Sensitivity Analysis of Quantiles," Tinbergen Institute Discussion Papers 13-082/III, Tinbergen Institute.
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