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"A New Stochastic Derivative Estimator for Discontinuous Payoff Functions ..."

Yongqiang Wang, Michael C. Fu, Steven I. Marcus (2012)

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DOI: 10.1287/OPRE.1110.1018

access: closed

type: Journal Article

metadata version: 2022-11-04

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Yongqiang Wang, Michael C. Fu, Steven I. Marcus:
A New Stochastic Derivative Estimator for Discontinuous Payoff Functions with Application to Financial Derivatives. Oper. Res. 60(2): 447-460 (2012)

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