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subject:"Volatility"
subject:"Stochastischer Prozess"
~type:"article"
~person:"Fu, Michael"
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Volatility
Stochastischer Prozess
Estimation theory
11
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simulation
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Derivat
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stochastic derivative estimation
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Fu, Michael
Kumar, Dilip
16
Maheswaran, S.
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Todorov, Viktor
12
Li, Jia
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Tauchen, George Eugene
11
Teräsvirta, Timo
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Fan, Jianqing
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Hurn, Stan
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Jing, Bingyi
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Li, Dong
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McAleer, Michael
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Park, Joon Y.
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Silvennoinen, Annastiina
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Taylor, Stephen
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Tsionas, Efthymios G.
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INFORMS journal on computing : JOC
2
Operations research
2
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ECONIS (ZBW)
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On the variance of single-run unbiased stochastic derivative estimators
Cui, Zhenyu
;
Fu, Michael
;
Hu, Jian-Qiang
;
Liu, Yanchu
; …
- In:
INFORMS journal on computing : JOC
32
(
2020
)
2
,
pp. 390-407
Persistent link: https://www.econbiz.de/10012242769
Saved in:
2
A new unbiased stochastic derivative estimator for discontinuous sample performances with structural parameters
Peng, Yijie
;
Fu, Michael
;
Hu, Jian-Qiang
;
Heidergott, Bernd
- In:
Operations research
66
(
2018
)
2
,
pp. 487-499
Persistent link: https://www.econbiz.de/10011845997
Saved in:
3
Regression models augmented with direct stochastic gradient estimators
Fu, Michael
;
Qu, Huashuai
- In:
INFORMS journal on computing : JOC
26
(
2014
)
3
,
pp. 484-499
Persistent link: https://www.econbiz.de/10010399808
Saved in:
4
A new stochastic derivative estimator for discontinuous payoff functions with application to financial derivatives
Wang, Yongqiang
;
Fu, Michael
;
Marcus, Steven I.
- In:
Operations research
60
(
2012
)
2
,
pp. 447-460
Persistent link: https://www.econbiz.de/10009554759
Saved in:
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