2 papers
q-fin.CP2018
Stochastic Algorithmic Differentiation of (Expectations of) Discontinuous Functions (Indicator Functions)
Christian P. Fries
In this paper, we present a method for the accurate estimation of the derivative (aka.~sensitivity) of expectations of functions involving an indicator function by combining a stoc…
q-fin.CP2017
Automatic Backward Differentiation for American Monte-Carlo Algorithms (Conditional Expectation)
Christian P. Fries
In this note we derive the backward (automatic) differentiation (adjoint [automatic] differentiation) for an algorithm containing a conditional expectation operator. As an example…