Linear-time accurate lattice algorithms for tail conditional expectation

DOI10.3233/AF-140034zbMATH Open1291.91230OpenAlexW2105809693MaRDI QIDQ5168380FDOQ5168380

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

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zbMATH Keywords

latticeextrapolationvalue-at-risktail conditional expectationfractional stepsprefix sum

Mathematics Subject Classification ID

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

Cited In (2)

• Fast accurate algorithms for tail conditional expectation
• Up- and down-correlations in normal variance mixture models

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