A New Stochastic Derivative Estimator for Discontinuous Payoff Functions with Application to Financial Derivatives
| Year of publication: |
2012
|
|---|---|
| Authors: | Wang, Yongqiang ; Fu, Michael C. ; Marcus, Steven I. |
| Published in: |
Operations research : the journal of the Operations Research Society of America. - Linthicum, Md : INFORMS, ISSN 0030-364X, ZDB-ID 1233890. - Vol. 60.2012, 2, p. 447-461
|