Stéphane Crépey

Adaptive multilevel stochastic approximation of the value-at-risk

Crépey, Frikha and Louzi (Finance Stoch. (2025) 1015–1074) introduced a multilevel stochastic approximation scheme to compute the value-at-risk of a financial loss that is only simulatable by Monte Carlo. The best complexity of the scheme is in O(ε−52), ε>0 being a prescribed acc...