基于双层嵌套模拟的条件期望方差估计与VaR计算
廖益文，王隆玉，杨丰梅，周荣喜
THE ESTIMATOR OF THE VARIANCE OF CONDITIONAL EXPECTATION AND THE CALCULATION OF VALUE AT RISK BASED ON THE TWO- LEVEL ESTED SIMULATION
LIAO Yiwe , WANG Longyu , YANG Fengmei , ZHOU Rongxi
系统科学与数学
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2013, (8): 905
-912
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DOI: 10.12341/jssms12155
