Variance reduction for risk measures with importance sampling in nested simulation (Q5079359): Difference between revisions

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Latest revision as of 03:28, 29 July 2024

scientific article; zbMATH DE number 7532605
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English
Variance reduction for risk measures with importance sampling in nested simulation
scientific article; zbMATH DE number 7532605

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    Variance reduction for risk measures with importance sampling in nested simulation (English)
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    27 May 2022
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    value-at-risk
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    expected shortfall
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    importance sampling
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    American-style derivatives
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    variance reduction
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