Variance reduction for risk measures with importance sampling in nested simulation
DOI10.1080/14697688.2021.1985730zbMATH Open1489.91311OpenAlexW4200417161MaRDI QIDQ5079359FDOQ5079359
Authors: Yue Xing, Tony Sit, Hoi Ying Wong 
Publication date: 27 May 2022
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2021.1985730
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Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Stopping times; optimal stopping problems; gambling theory (60G40)
Cites Work
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- Pricing American Options: A Duality Approach
- Variance Reduction Techniques for Estimating Value-at-Risk
- Multilevel nested simulation for efficient risk estimation
- Asymptotic representations for importance-sampling estimators of value-at-risk and conditional value-at-risk
- Convergence of a least-squares Monte Carlo algorithm for American option pricing with dependent sample data
- Simulation-based Value-at-Risk for nonlinear portfolios
- Weak error for nested multilevel Monte Carlo
- Regression-based complexity reduction of the nested Monte Carlo methods
Cited In (9)
- Computing VaR and CVaR using stochastic approximation and adaptive unconstrained importance sampling
- Simulating risk measures via asymptotic expansions for relative errors
- A new variance reduction technique for estimating value-at-risk
- Asymptotic representations for importance-sampling estimators of value-at-risk and conditional value-at-risk
- On variance reduction of mean-CVaR Monte Carlo estimators
- Large sample behavior of the CTE and VaR estimators under importance sampling
- The estimator of the variance of conditional expectation and the calculation of value at risk based on the two-level nested simulation
- Variance reduction techniques for nested simulation in measuring portfolio's risk
- Efficient nested simulation for conditional tail expectation of variable annuities
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