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Conditional Monte Carlo estimation of quantile sensitivities
Fu, Michael; Hong, L. Jeff; Hu, Jian-Qiang - In: Management science : journal of the Institute for … 55 (2009) 12, pp. 2019-2027
Persistent link: https://www.econbiz.de/10003928512
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Simulation-based algorithms for Markov decision processes
Fu, Michael; Hu, Jiaqiao; Marcus, Steven I. - 2007
Persistent link: https://www.econbiz.de/10003383997
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A new stochastic derivative estimator for discontinuous payoff functions with application to financial derivatives
Wang, Yongqiang; Fu, Michael; Marcus, Steven I. - In: Operations research 60 (2012) 2, pp. 447-460
Persistent link: https://www.econbiz.de/10009554759
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Sequential selection with unknown correlation structures
Qu, Huashuai; Ryzhov, Ilya O.; Fu, Michael; Ding, Zi - In: Operations research 63 (2015) 4, pp. 931-948
Persistent link: https://www.econbiz.de/10011313170
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On estimating quantile sensitivities via infinitesimal perturbation analysis
Jiang, Guangxin; Fu, Michael - In: Operations research 63 (2015) 2, pp. 435-441
Persistent link: https://www.econbiz.de/10010526698
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Dynamic optimal portfolio choice in a jump-diffusion model with investment constraints
Jin, Xing; Zhang, Kun - In: Journal of banking & finance 37 (2013) 5, pp. 1733-1746
Persistent link: https://www.econbiz.de/10009729466
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Estimating multiple option Greeks simultaneously using random parameter regression
Fu, Haifeng; Jin, Xing; Pan, Guangming; Yang, Yanrong - In: The journal of computational finance 16 (2012/13) 2, pp. 85-118
Persistent link: https://www.econbiz.de/10009702575
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Decomposition of optimal portfolio weight in a jump-diffusion model and its applications
Jin, Xing; Zhang, Allen X. - In: The review of financial studies 25 (2012) 9, pp. 2877-2919
Persistent link: https://www.econbiz.de/10009630184
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A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction
Jin, Xing; Li, Xun; Hwee Huat Tan; Wu, Zhenyu - In: European journal of operational research : EJOR 231 (2013) 2, pp. 362-370
Persistent link: https://www.econbiz.de/10009785582
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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