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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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Dynamic sampling allocation and design selection
Peng, Yijie; Chen, Chun-hung; Fu, Michael; Hu, Jian-Qiang - In: INFORMS journal on computing : JOC 28 (2016) 2, pp. 195-208
Persistent link: https://www.econbiz.de/10011489257
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Efficient sampling allocation procedures for optimal quantile selection
Peng, Yijie; Chen, Chun-hung; Fu, Michael; Hu, Jian-Qiang; … - In: INFORMS journal on computing : JOC 33 (2021) 1, pp. 230-245
Persistent link: https://www.econbiz.de/10012496377
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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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Dynamic sampling allocation under finite simulation budget for feasibility determination
Shi, Zhongshun; Peng, Yijie; Shi, Leyuan; Chen, Chun-hung; … - In: INFORMS journal on computing : JOC ; charting new … 34 (2022) 1, pp. 557-568
Persistent link: https://www.econbiz.de/10013361307