Simulation-based Value-at-Risk for Nonlinear Portfolios
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Cited by:
- Chen Liu & Henry Schellhorn & Qidi Peng, 2019. "American Option Pricing With Regression: Convergence Analysis," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(08), pages 1-31, December.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-CMP-2019-04-29 (Computational Economics)
- NEP-ECM-2019-04-29 (Econometrics)
- NEP-RMG-2019-04-29 (Risk Management)
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