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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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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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Regression models augmented with direct stochastic gradient estimators
Fu, Michael; Qu, Huashuai - In: INFORMS journal on computing : JOC 26 (2014) 3, pp. 484-499
Persistent link: https://www.econbiz.de/10010399808
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Capital renewal as a real option
Reindorp, Matthew J.; Fu, Michael - In: European journal of operational research : EJOR 214 (2011) 1, pp. 109-117
Persistent link: https://www.econbiz.de/10009238164
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Conditional Monte Carlo gradient estimation in economic design of control limits
Fu, Michael; Lele, Shreevardhan; Vossen, Thomas W. M. - In: Production and operations management : an international … 18 (2009) 1, pp. 60-77
Persistent link: https://www.econbiz.de/10003827806
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Optimal importance sampling in securities pricing
Su, Yi; Fu, Michael - In: The journal of computational finance 5 (2002) 4, pp. 27-50
Persistent link: https://www.econbiz.de/10001695832
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Pricing continuous Asian options : a comparison of Monte Carlo and Laplace transform inversion methods
Fu, Michael; Madan, Dilip B.; Wang, Tong - In: The journal of computational finance 2 (1998/1999) 2, pp. 49-74
Persistent link: https://www.econbiz.de/10001633397