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Pathwise Estimation of Probability Sensitivities Through Terminating or Steady-State Simulations
16 references·2 citing·33 second hop
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this work references cited by second hop

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  • 2003Monte Carlo Methods in Financial Engineering3,818 cited
  • 1991Gradient Estimation via Perturbation Analysis707 cited
  • 2003Credit Risk : Pricing, Measurement, and Management587 cited
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  • 1983Confidence Interval Estimation Using Standardized Time Series317 cited
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  • 1985Convergence of parameter sensitivity estimates in a stochastic experiment65 cited

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Cited by

  • 2010Estimating Greeks in Simulating Lévy-Driven Models21 cited
  • 2023Pharmaceutical Supply Chains and Drug Shortages15 cited