Asymptotic properties of Monte Carlo estimators of derivatives

Management Science

Volumn 51, Issue 11, 2005, Pages 1657-1675

  Detemple, Jérôme ^a,b   Garcia, René ^b,c,d   Rindisbacher, Marcel ^b,e  

^a BOSTON UNIVERSITY   (United States)

^b CIRANO   (Canada)

^c UNIVERSITÉ DE MONTRÉAL   (Canada)

^d Université Laval   (Canada)

^e UNIVERSITY OF TORONTO   (Canada)

Author keywords

Covariation; Derivative estimation; Finite difference; Likelihood ratio; Malliavin path; Malliavin weight; Simulation; Weak convergence

Indexed keywords

COVARIATION; DERIVATIVE ESTIMATION; FINITE DIFFERENCE; LIKELIHOOD RATIO; MALLIAVIN PATH; MALLIAVIN WEIGHT; WEAK CONVERGENCE;

APPROXIMATION THEORY; ASYMPTOTIC STABILITY; COMPUTER SIMULATION; FINITE DIFFERENCE METHOD; MATHEMATICAL MODELS; MAXIMUM LIKELIHOOD ESTIMATION;

MONTE CARLO METHODS;

EID: 27744492898     PISSN: 00251909     EISSN: 15265501     Source Type: Journal    
DOI: 10.1287/mnsc.1050.0398     Document Type: Article

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