Variance reduction for risk measures with importance sampling in nested simulation
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Publication:5079359
DOI10.1080/14697688.2021.1985730zbMath1489.91311OpenAlexW4200417161MaRDI QIDQ5079359
Tony Sit, Yue Xing, Hoi Ying Wong
Publication date: 27 May 2022
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2021.1985730
Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Monte Carlo methods (65C05) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
Cites Work
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- Monte Carlo valuation of American options
- Multilevel Nested Simulation for Efficient Risk Estimation
- Simulation-based Value-at-Risk for nonlinear portfolios
- A Note on Quantiles in Large Samples
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