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"An algorithm for sequential tail value at risk for path-independent ..."

Berend Roorda (2010)

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DOI: 10.1007/S10479-010-0761-7

access: closed

type: Journal Article

metadata version: 2020-08-13

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Berend Roorda:
An algorithm for sequential tail value at risk for path-independent payoffs in a binomial tree. Ann. Oper. Res. 181(1): 463-483 (2010)

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