Linear-time accurate lattice algorithms for tail conditional expectation

DOI10.3233/AF-140034MaRDI QIDQ5168380zbMATH OpenOpenAlexFDO

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

Publication date 4 July 2014

Published in Algorithmic Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3233/af-140034

zbMATH Keywords

extrapolationfractional stepslatticeprefix sumtail conditional expectationvalue-at-risk

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Approximation algorithms (68W25) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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