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 |
| 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 |
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