no code implementations • 9 May 2024 • Guo Liang, Guangwu Liu, Kun Zhang
Secondly, recycling these pilot samples again and generating new samples at the estimated perturbation, lead to an efficient finite difference estimator.
no code implementations • 29 Mar 2022 • Kun Zhang, Ben Mingbin Feng, Guangwu Liu, Shiyu Wang
The resulting sample of conditional expectations is then used to estimate different risk measures of interest.