On the calculation of risk measures using least-squares Monte Carlo
Year of publication: |
May 2017
|
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Authors: | Benedetti, Giuseppe |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 20.2017, 3, p. 1-14
|
Subject: | Derivative pricing | risk management | Monte Carlo methods | Risikomanagement | Risk management | Monte-Carlo-Simulation | Monte Carlo simulation | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Risikomaß | Risk measure |
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