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Gradient estimation
Fu, Michael - In: Simulation, (pp. 575-616). 2006
Persistent link: https://www.econbiz.de/10003588046
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Estimating multiple option Greeks simultaneously using random parameter regression
Fu, Haifeng; Jin, Xing; Pan, Guangming; Yang, Yanrong - In: The journal of computational finance 16 (2012/13) 2, pp. 85-118
Persistent link: https://www.econbiz.de/10009702575
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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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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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Simulation-based quantile estimation and stochastic dynamic programming with applications to finance
Jin, Xing - 2002
Persistent link: https://www.econbiz.de/10003629739
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Conditional Monte Carlo gradient estimation in economic design of control limits
Fu, Michael; Lele, Shreevardhan; Vossen, Thomas W. M. - In: Production and operations management : an international … 18 (2009) 1, pp. 60-77
Persistent link: https://www.econbiz.de/10003827806
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On estimating quantile sensitivities via infinitesimal perturbation analysis
Jiang, Guangxin; Fu, Michael - In: Operations research 63 (2015) 2, pp. 435-441
Persistent link: https://www.econbiz.de/10010526698
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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