VaR/CVaR estimation under stochastic volatility models
Chuan-Hsiang Han, Wei-Han Liu and Tzu-Ying Chen
| Year of publication: |
2014
|
|---|---|
| Authors: | Han, Chuan-Hsiang ; Liu, Wei-han ; Chen, Tzu-ying |
| 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, 2, p. 1-35
|
| Subject: | Stochastic volatility | Fourier transform method | importance sampling | (conditional) Value-at-Risk | backtesting | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Risikomaß | Risk measure | Optionspreistheorie | Option pricing theory | Stichprobenerhebung | Sampling | Monte-Carlo-Simulation | Monte Carlo simulation | Schätztheorie | Estimation theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010363922