A Fast Monte Carlo Algorithm for Estimating Value at Risk and Expected Shortfall
Hsieh, Ming-Hua, Liao, Wei-Cheng, Chen, Chuen-LungVolume:
22
Langue:
english
Journal:
The Journal of Derivatives
DOI:
10.3905/jod.2014.22.2.050
Date:
November, 2014
Fichier:
PDF, 3.73 MB
english, 2014