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An efficient estimation of nested expectations without conditional sampling - MaRDI portal

An efficient estimation of nested expectations without conditional sampling

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Publication:6383820

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DOI10.1016/j.cam.2022.114811zbMath1524.65014arXiv2111.12278MaRDI QIDQ6383820

Tomohiko Hironaka, Takashi Goda

Publication date: 24 November 2021

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Monte Carlo methods (65C05) Portfolio theory (91G10)

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