Fast accurate algorithms for tail conditional expectation

DOI10.1063/1.3241508MaRDI QIDQ5851524zbMATH OpenOpenAlexFDO

Authors Bryant Chen, William Wei-Yuan Hsu, Ming-Yang Kao

Publication date 22 January 2010

Published in AIP Conference Proceedings (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1063/1.3241508

zbMATH Keywords

extrapolationfractional stepslatticetail conditional expectationvalue-at-risk

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60)

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(3)

• An algorithm for sequential tail value at risk for path-independent payoffs in a binomial tree
• Accurate Computation of Conditional Expectation for Highly Nonlinear Problems
• Linear-time accurate lattice algorithms for tail conditional expectation

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