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Simulation
17
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Fu, Michael
35
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8
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4
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3
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3
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Sensitivity analysis in Monte Carlo Simulation of stochastic activity networks
Fu, Michael
- In:
Perspectives in operations research : papers in honor …
,
(pp. 351-366)
.
2006
Persistent link: https://www.econbiz.de/10003674859
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2
Gradient estimation
Fu, Michael
- In:
Simulation
,
(pp. 575-616)
.
2006
Persistent link: https://www.econbiz.de/10003588046
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3
Optimal importance sampling in securities pricing
Su, Yi
;
Fu, Michael
- In:
The journal of computational finance
5
(
2002
)
4
,
pp. 27-50
Persistent link: https://www.econbiz.de/10001695832
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4
Pricing continuous Asian options : a comparison of Monte Carlo and Laplace transform inversion methods
Fu, Michael
;
Madan, Dilip B.
;
Wang, Tong
- In:
The journal of computational finance
2
(
1998/1999
)
2
,
pp. 49-74
Persistent link: https://www.econbiz.de/10001633397
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5
Conditional Monte Carlo estimation of quantile sensitivities
Fu, Michael
;
Hong, L. Jeff
;
Hu, Jian-Qiang
- In:
Management science : journal of the Institute for …
55
(
2009
)
12
,
pp. 2019-2027
Persistent link: https://www.econbiz.de/10003928512
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6
Capital renewal as a real option
Reindorp, Matthew J.
;
Fu, Michael
- In:
European journal of operational research : EJOR
214
(
2011
)
1
,
pp. 109-117
Persistent link: https://www.econbiz.de/10009238164
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7
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
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8
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
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9
Efficient simulation budget allocation for selecting an optimal subset
Chen, Chun-hung
;
He, Donghai
;
Fu, Michael
;
Lee, Loo Hay
- In:
INFORMS journal on computing : JOC
20
(
2008
)
4
,
pp. 579-595
Persistent link: https://www.econbiz.de/10003772390
Saved in:
10
Simulation-based algorithms for Markov decision processes
Fu, Michael
;
Hu, Jiaqiao
;
Marcus, Steven I.
-
2007
Persistent link: https://www.econbiz.de/10003383997
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