Low Variance Estimation of Diffusion Process Sensitivities

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：angel455029998

【摘要】

：

　　We design a Monte-Carlo method to compute efficiently the sensitivities of diffusion processes in a general framework with low variance estimates.

【作者】

：

Gobet Emmanuel

【机构】

：

Ecole Polytechnique

【出处】

：

第八届工业与应用数学国际大会

【发表日期】

：

2015年期

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　　We design a Monte-Carlo method to compute efficiently the sensitivities of diffusion processes in a general framework with low variance estimates.

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Low Variance Estimation of Diffusion Process Sensitivities

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