Nan Chen, Yanchu Liu. Pathwise derivative methods on single-asset American option sensitivity estimation. In Proceedings of the 2010 Winter Simulation Conference, WSC 2010, Baltimore, Maryland, USA, 5-8 December 2010. pages 2721-2731, WSC, 2010. [doi]
@inproceedings{ChenL10a-6,
title = {Pathwise derivative methods on single-asset American option sensitivity estimation},
author = {Nan Chen and Yanchu Liu},
year = {2010},
doi = {10.1109/WSC.2010.5678967},
url = {http://dx.doi.org/10.1109/WSC.2010.5678967},
researchr = {https://researchr.org/publication/ChenL10a-6},
cites = {0},
citedby = {0},
pages = {2721-2731},
booktitle = {Proceedings of the 2010 Winter Simulation Conference, WSC 2010, Baltimore, Maryland, USA, 5-8 December 2010},
publisher = {WSC},
}