Efficient simulation of value-at-risk under a jump diffusion model : a new method for moderate deviation events
Year of publication: |
April 2018
|
---|---|
Authors: | Fuh, Cheng-Der ; Teng, Huei-Wen ; Wang, Ren-Her |
Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 51.2018, 4, p. 973-990
|
Subject: | Importance sampling | Exponential tilting | Moderate deviation | Jump diffusion | VaR | Risikomaß | Risk measure | Stochastischer Prozess | Stochastic process | Simulation | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Volatilität | Volatility | Stichprobenerhebung | Sampling | Statistische Verteilung | Statistical distribution |
-
Multi-level Monte Carlo simulations with importance sampling
Stilger, Przemyslaw Stan, (2013)
-
VaR/CVaR estimation under stochastic volatility models
Han, Chuan-Hsiang, (2014)
-
Finite Gaussian mixture approximations to analytically intractable density Kernels
Khorunzhina, Natalia, (2019)
- More ...
-
Efficient Importance Sampling for Rare Event Simulation with Applications
Fuh, Cheng-Der, (2013)
-
The Role of Additional Information in Option Pricing: Estimation Issues for the State Space Model
Wang, Ren-Her, (2010)
-
The Role of Additional Information in Option Pricing: Estimation Issues for the State Space Model
Wang, Ren-Her, (2010)
- More ...