Computing the distribution function of a conditional expectation via Monte Carlo: discrete conditioning spaces

  • Authors:
  • Shing-Hoi Lee;Peter W. Glynn

  • Affiliations:
  • Fixed-Income Research Group, Morgan Stanley Dean Witter & Co., 1585 Broadway, Manhattan, NY;Department of Engineering-Economic Systems and Operations Research, Stanford University, Stanford, CA

  • Venue:
  • Proceedings of the 31st conference on Winter simulation: Simulation---a bridge to the future - Volume 2
  • Year:
  • 1999

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Abstract