Linear-time accurate lattice algorithms for tail conditional expectation (Q5168380)
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scientific article; zbMATH DE number 6313232
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| English | Linear-time accurate lattice algorithms for tail conditional expectation |
scientific article; zbMATH DE number 6313232 |
Statements
Linear-time accurate lattice algorithms for tail conditional expectation (English)
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4 July 2014
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value-at-risk
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tail conditional expectation
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lattice
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prefix sum
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extrapolation
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fractional steps
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0.9114559292793274
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0.7302911281585693
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0.7078160643577576
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0.7053856253623962
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0.7034727931022644
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