相关参考文献
注意:仅列出部分参考文献,下载原文获取全部文献信息。A New Unbiased Stochastic Derivative Estimator for Discontinuous Sample Performances with Structural Parameters
Yijie Peng et al.
OPERATIONS RESEARCH (2018)
Random Gradient-Free Minimization of Convex Functions
Yurii Nesterov et al.
FOUNDATIONS OF COMPUTATIONAL MATHEMATICS (2017)
A Measure-Valued Differentiation Approach to Sensitivities of Quantiles
Bernd Heidergott et al.
MATHEMATICS OF OPERATIONS RESEARCH (2016)
A STOCHASTIC QUASI-NEWTON METHOD FOR LARGE-SCALE OPTIMIZATION
R. H. Byrd et al.
SIAM JOURNAL ON OPTIMIZATION (2016)
A New Stochastic Derivative Estimator for Discontinuous Payoff Functions with Application to Financial Derivatives
Yongqiang Wang et al.
OPERATIONS RESEARCH (2012)
Kernel Estimation of the Greeks for Options with Discontinuous Payoffs
Guangwu Liu et al.
OPERATIONS RESEARCH (2011)
Weak Differentiability of Product Measures
Bernd Heidergott et al.
MATHEMATICS OF OPERATIONS RESEARCH (2010)
Conditional Monte Carlo Estimation of Quantile Sensitivities
Michael C. Fu et al.
MANAGEMENT SCIENCE (2009)