A new stochastic derivative estimator for discontinuous payoff functions with application to financial derivatives

Yongqiang Wang; Michael C. Fu; Steven I. Marcus

Year of publication:	2012
Authors:	Wang, Yongqiang ; Fu, Michael ; Marcus, Steven I.
Published in:	Operations research. - Catonsville, MD : INFORMS, ISSN 0030-364X, ZDB-ID 123389-0. - Vol. 60.2012, 2, p. 447-460
Subject:	Derivat \| Derivative \| Stochastischer Prozess \| Stochastic process \| Schätztheorie \| Estimation theory \| Optionspreistheorie \| Option pricing theory

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