Risk management with local least squares Monte Carlo
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Publication:6569736
DOI10.1017/asb.2023.25zbMath1545.91325MaRDI QIDQ6569736
Adnane Akbaraly, Donatien Hainaut
Publication date: 9 July 2024
Published in: ASTIN Bulletin (Search for Journal in Brave)
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial mathematics (91G05)
Cites Work
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