DOI10.1080/14697688.2019.1598568zbMath1422.91780arXiv1904.09088MaRDI QIDQ5235455
Tony Sit, Hoi Ying Wong, Junyao Chen
Publication date: 11 October 2019 Published in: Quantitative Finance (Search for Journal in Brave) Full work available at URL: https://arxiv.org/abs/1904.09088
zbMATH Keywords
value-at-risk; least-squares Monte Carlo; American-type derivatives; high-dimensional portfolios
Mathematics Subject Classification ID
91G70: Statistical methods; risk measures
91G10: Portfolio theory