Implied value-at-risk and model-free simulation
DOI10.1007/S10479-022-05048-WzbMATH Open1537.91309MaRDI QIDQ6549615
Andrea Perchiazzo, Steven Vanduffel, Carole Bernard
Publication date: 4 June 2024
Published in: Annals of Operations Research (Search for Journal in Brave)
Heston modelexact simulationstochastic volatility modelsSABR modelimplied value-at-riskmodel-free simulation under risk-neutral probability measure
Nonparametric regression and quantile regression (62G08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)
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