ON THE CALCULATION OF RISK MEASURES USING LEAST-SQUARES MONTE CARLO

DOI10.1142/S0219024917500200zbMath1396.91797OpenAlexW2599587357MaRDI QIDQ2986664

Giuseppe Benedetti

Publication date: 16 May 2017

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024917500200

zbMATH Keywords

Monte Carlo methodsderivative pricingrisk management

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Monte Carlo methods (65C05)

Related Items (2)

A least-squares Monte Carlo approach to the estimation of enterprise risk ⋮ An aspect of optimal regression design for LSMC

Cites Work

• Convergence rates and asymptotic normality for series estimators
• An analysis of a least squares regression method for American option pricing
• Optimal global rates of convergence for nonparametric regression
• Optimal uniform convergence rates and asymptotic normality for series estimators under weak dependence and weak conditions
• Risk Estimation via Regression
• Valuing American Options by Simulation: A Simple Least-Squares Approach

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