Nested Monte Carlo simulation in financial reporting: a review and a new hybrid approach
DOI10.1080/03461238.2021.1881809zbMath1479.91445OpenAlexW3130785163MaRDI QIDQ5014496
Publication date: 8 December 2021
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2021.1881809
Monte Carlo simulationnested simulationnumerical PDE methodsfinancial reportingnested stochastic modeling
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stochastic models in economics (91B70) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75) Actuarial mathematics (91G05)
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Cites Work
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