Variance reduction for risk measures with importance sampling in nested simulation
Yue Xing, Tony Sit and Hoi Ying Wong
| 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
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| Subject: | American-style derivatives | Expected shortfall | Importance sampling | Value-at-Risk | Variance reduction | Risikomaß | Risk measure | Simulation | Stichprobenerhebung | Sampling | Derivat | Derivative | Portfolio-Management | Portfolio selection | Messung | Measurement | Risiko | Risk | Varianzanalyse | Analysis of variance | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2021.1985730 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013367849