Implied value-at-risk and model-free simulation (Q6549615)
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scientific article; zbMATH DE number 7859361
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Implied value-at-risk and model-free simulation |
scientific article; zbMATH DE number 7859361 |
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Implied value-at-risk and model-free simulation (English)
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4 June 2024
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implied value-at-risk
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model-free simulation under risk-neutral probability measure
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exact simulation
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stochastic volatility models
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SABR model
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Heston model
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