Simulation-based Value-at-Risk for nonlinear portfolios (Q5235455): Difference between revisions
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Revision as of 20:24, 5 March 2024
scientific article; zbMATH DE number 7116175
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Simulation-based Value-at-Risk for nonlinear portfolios |
scientific article; zbMATH DE number 7116175 |
Statements
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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