Linear-time accurate lattice algorithms for tail conditional expectation
Year of publication: |
2014
|
---|---|
Authors: | Chen, Bryant ; Hsu, William W.Y. ; Ho, Jan-Ming ; Kao, Ming-Yang |
Published in: |
Algorithmic Finance. - IOS Press. - Vol. 3.2014, 1-2, p. 87-140
|
Publisher: |
IOS Press |
Subject: | Value-at-Risk | tail conditional expectation | lattice | prefix sum | extrapolation | fractional steps |
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