Optimal Limit Methods for Computing Sensitivities of
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References listed on IDEAS
- J. E. Stiglitz, 1999. "Introduction," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 28(3), pages 249-254, November.
- Joshi, Mark & Yang, Chao, 2011. "Fast delta computations in the swap-rate market model," Journal of Economic Dynamics and Control, Elsevier, vol. 35(5), pages 764-775, May.
- Mark Broadie & Paul Glasserman, 1996. "Estimating Security Price Derivatives Using Simulation," Management Science, INFORMS, vol. 42(2), pages 269-285, February.
- Heidergott, Bernd & Vazquez-Abad, Felisa J. & Volk-Makarewicz, Warren, 2008. "Sensitivity estimation for Gaussian systems," European Journal of Operational Research, Elsevier, vol. 187(1), pages 193-207, May.
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- David T. Frazier & Dan Zhu, 2017. "Derivative-Based Optimization with a Non-Smooth Simulated Criterion," Papers 1708.02365, arXiv.org.
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KeywordsPrice Sensitivities; Monte-Carlo Greeks; Partial Proxy Simulation Scheme; Minimal Partial;
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