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

Journal of Systems Science and Mathematical Sciences ›› 2013, Vol. 33 ›› Issue (8) : 905-912.

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Journal of Systems Science and Mathematical Sciences ›› 2013, Vol. 33 ›› Issue (8) : 905-912. DOI: 10.12341/jssms12155

THE ESTIMATOR OF THE VARIANCE OF CONDITIONAL EXPECTATION AND THE CALCULATION OF VALUE AT RISK BASED ON THE TWO- LEVEL  ESTED SIMULATION

  • LIAO Yiwe1 , WANG Longyu2 , YANG Fengmei 3, ZHOU Rongxi4
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{{article.zuoZheEn_L}}. {{article.title_en}}. Journal of Systems Science and Mathematical Sciences, 2013, 33(8): 905-912 https://doi.org/10.12341/jssms12155

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