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Kernel estimation of Greek weights by parameter randomization
A Greek weight associated to a parameterized random variable Z(λ) is a random variable π such that ∇λE[φ(Z(λ))]=E[φ(Z(λ))π] for any function φ. The importance of the set of Greek weights for the purpose of Monte Carlo simulations has been highlighted in the recent literature. Our main concern in this paper …