Variance reduction for risk measures with importance sampling in nested simulation
Year of publication: |
2022
|
---|---|
Authors: | Xing, Yue ; Sit, Tony ; Wong, Hoi Ying |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 22.2022, 4, p. 657-673
|
Subject: | American-style derivatives | Expected shortfall | Importance sampling | Value-at-Risk | Variance reduction | Risikomaß | Risk measure | Theorie | Theory | Derivat | Derivative | Stichprobenerhebung | Sampling | Simulation | Varianzanalyse | Analysis of variance | Monte-Carlo-Simulation | Monte Carlo simulation | Portfolio-Management | Portfolio selection | Risiko | Risk | Messung | Measurement | Risikomanagement | Risk management |
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