A Hybrid Importance Sampling Algorithm for Estimating VaR under the Jump Diffusion Model

• 作 者: Tian-Shyr Dai Li-Min Liu
• 机 构: 不详
• 出 处: 软件工程与应用(英文)
• 发表日期: 2009年4期
• 关键词: HYBRID IMPORTANCE Sampling VAR STRADDLE OPTIONS JUMP Diffusion Process Hybrid Im

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