Simulation-based Value-at-Risk for nonlinear portfolios (Q5235455): Difference between revisions

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Latest revision as of 16:20, 20 July 2024

scientific article; zbMATH DE number 7116175
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English
Simulation-based Value-at-Risk for nonlinear portfolios
scientific article; zbMATH DE number 7116175

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    Simulation-based Value-at-Risk for nonlinear portfolios (English)
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    11 October 2019
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    value-at-risk
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    least-squares Monte Carlo
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    American-type derivatives
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    high-dimensional portfolios
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