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Optimal investment in derivative securities
Carr, Peter; Jin, Xing; Madan, Dilip B. - In: Finance and stochastics 5 (2001) 1, pp. 33-59
Persistent link: https://www.econbiz.de/10001553046
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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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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
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On sample average approximation algorithms for determining the optimal importance sampling parameters in pricing financial derivatives on Lévy processes
Jiang, Guangxin; Xu, Chenglong; Fu, Michael - In: Operations research letters 44 (2016) 1, pp. 44-49
Persistent link: https://www.econbiz.de/10011455555
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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
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Copula sensitivity analysis for portfolio credit derivatives
Lei, Lei; Peng, Yijie; Fu, Michael; Hu, Jian-Qiang - In: European journal of operational research : EJOR 308 (2023) 1, pp. 455-466
Persistent link: https://www.econbiz.de/10014283065