\(t\)-Copula generation for control variates (Q622215)
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scientific article; zbMATH DE number 5843143
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | \(t\)-Copula generation for control variates |
scientific article; zbMATH DE number 5843143 |
Statements
\(t\)-Copula generation for control variates (English)
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31 January 2011
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Monte Carlo simulation
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\(t\)-copula
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control variate
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polar method
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variance reduction
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multi-normal model
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numerical inversion
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numerical experiments
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pricing European basket options
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