"Nonlinear VaR Model of FX Options Portfolio Based on Importance Sampling ..."

Rongda Chen, Jinrong Lu (2009)

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DOI: 10.1109/BIFE.2009.95

access: closed

type: Conference or Workshop Paper

metadata version: 2023-03-23

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Rongda Chen, Jinrong Lu:
Nonlinear VaR Model of FX Options Portfolio Based on Importance Sampling Technique. BIFE 2009: 386-390

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