Linear-time accurate lattice algorithms for tail conditional expectation

DOI10.3233/AF-140034zbMath1291.91230OpenAlexW2105809693MaRDI QIDQ5168380

Bryant Chen, Jan-Ming Ho, William Wei-Yuan Hsu, Ming-Yang Kao

Publication date: 4 July 2014

Published in: Algorithmic Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3233/af-140034

zbMATH Keywords

latticeextrapolationvalue-at-riskfractional stepstail conditional expectationprefix sum

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical optimization and variational techniques (65K10) Derivative securities (option pricing, hedging, etc.) (91G20) Approximation algorithms (68W25)

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