Efficient risk estimation via nested multilevel quasi-Monte Carlo simulation

DOI10.1016/J.CAM.2023.115745arXiv2011.11898MaRDI QIDQ6354415

Xiaoqun Wang, Zhenghang Xu, Zhijian He

Publication date: 24 November 2020

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05)

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