Efficient Simulation of Value-at-Risk Under a Jump Diffusion Model: A New Method for Moderate Deviation Events
Crossref DOI link: https://doi.org/10.1007/s10614-017-9654-z
Published Online: 2017-02-17
Published Print: 2018-04
Update policy: https://doi.org/10.1007/springer_crossmark_policy
Fuh, Cheng-Der
Teng, Huei-Wen
Wang, Ren-Her
Funding for this research was provided by:
National Science Council Taiwan (100-2410-H-032-024)
License valid from 2017-02-17