A Hybrid Importance Sampling Algorithm for Estimating VaR under the Jump Diffusion Model
نویسندگان
چکیده
منابع مشابه
A Hybrid Importance Sampling Algorithm for Estimating VaR under the Jump Diffusion Model
Value at Risk (VaR) is an important tool for estimating the risk of a financial portfolio under significant loss. Although Monte Carlo simulation is a powerful tool for estimating VaR, it is quite inefficient since the event of significant loss is usually rare. Previous studies suggest that the performance of the Monte Carlo simulation can be improved by importance sampling if the market return...
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ژورنال
عنوان ژورنال: Journal of Software Engineering and Applications
سال: 2009
ISSN: 1945-3116,1945-3124
DOI: 10.4236/jsea.2009.24039