Risk management with local least squares Monte Carlo

DOI10.1017/ASB.2023.25zbMATH Open1545.91325MaRDI QIDQ6569736FDOQ6569736

Authors: Donatien Hainaut, Adnane Akbaraly 

Publication date: 9 July 2024

Published in: ASTIN Bulletin (Search for Journal in Brave)

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zbMATH Keywords

risk managementoption valuationleast square Monte Carlo

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Actuarial mathematics (91G05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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• A least-squares Monte Carlo approach to the estimation of enterprise risk

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