Efficient simulation of polyhedral expectations with applications to finance

DOI10.1287/MOOR.2023.0145MaRDI QIDQ7262857zbMATH OpenFDO

Authors Dohyun Ahn, Lewen Zheng

Publication date 12 June 2026

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/MOOR.2023.0145

zbMATH Keywords

importance samplingpolyhedral theoryrare-event simulationrisk management

Mathematics Subject Classification ID

General theory of simulation (00A72) Monte Carlo methods (65C05) Mathematical modeling or simulation for problems pertaining to operations research and mathematical programming (90-10) Mathematical modeling or simulation for problems pertaining to game theory, economics, and finance (91-10) Numerical methods (including Monte Carlo methods) (91G60)

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