Variance reduction for risk measures with importance sampling in nested simulation (Q5079359)
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scientific article; zbMATH DE number 7532605
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| default for all languages | No label defined |
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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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0.8723853826522827
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0.8270708322525024
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0.8202149868011475
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0.8060814142227173
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