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Keywords: Monte Carlo Simulation
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2011) 19 (4): 389–426.
Published: 30 November 2011
... and authors. The full terms of this licence may be seen at http://creativecommons.org/licences/by/4.0/legalcode WKB Approximation Monte Carlo Simulation Interest rate Derivatives Greeks ...
Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2002) 10 (1): 81–111.
Published: 31 May 2002
... out that the discrepancy between the two VaRs increases as the confidence level rises, the holding period lengthens, the volatility goes up, or the price limits get tighter. VaR Price limits Censored distribution Path-dependency Monte Carlo Simulation © 2002 Emerald Publishing Limited...
