Fast Accurate Algorithms for Tail Conditional Expectation

DOI10.1063/1.3241508zbMath1181.91091OpenAlexW1626149224MaRDI QIDQ5851524

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

Publication date: 22 January 2010

Published in: AIP Conference Proceedings (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1063/1.3241508

zbMATH Keywords

latticeextrapolationvalue-at-riskfractional stepstail conditional expectation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60)

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