An exact method for the sensitivity analysis of systems simulated by rejection techniques
Year of publication: |
1 November 2016
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Authors: | Joshi, Mark S. ; Zhu, Dan |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 254.2016, 3 (1.11.), p. 875-888
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Subject: | Monte Carlo simulation | Sensitivity analysis | Acceptance-rejection sampling | Option pricing under Levy processes | Queuing theory | Simulation | Optionspreistheorie | Option pricing theory | Sensitivitätsanalyse | Monte-Carlo-Simulation | Warteschlangentheorie | Queueing theory |
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