2 citations · 2 across the 2 of their papers we have counts for
2 papers
math.ST2023
Optimal distributions for randomized unbiased estimators with an infinite horizon and an adaptive algorithm
Chao Zheng, Jiangtao Pan, Qun Wang
The randomized unbiased estimators of Rhee and Glynn (Operations Research:63(5), 1026-1043, 2015) can be highly efficient at approximating expectations of path functionals associat…
q-fin.CP2023★ 2 cited
Unbiased estimators for the Heston model with stochastic interest rates
Chao Zheng, Jiangtao Pan
We combine the unbiased estimators in Rhee and Glynn (Operations Research: 63(5), 1026-1043, 2015) and the Heston model with stochastic interest rates. Specifically, we first devel…