Value-at-risk computations in stochastic volatility models using second-order weak approximation schemes
Eva Lütkebohmert and Lydienne Matchie
| Year of publication: |
2014
|
|---|---|
| Authors: | Lütkebohmert, Eva ; Matchie, Lydienne |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 17.2014, 1, p. 1-26
|
| Subject: | Cubature methods | stochastic volatility | credit risk models, weak approximation schemes | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Kreditrisiko | Credit risk | Risikomaß | Risk measure | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Erratum enth. in: Vol. 17.2014,2 |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010363958