Unbiased Simulation of Distributions with Explicitly Known Integral Transforms

DOI10.1007/978-3-319-33507-0_9zbMath1356.65028OpenAlexW2478753146MaRDI QIDQ2957032

Denis Belomestny, YiWei Wang, Nan Chen

Publication date: 20 January 2017

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-33507-0_9

zbMATH Keywords

Fourier transformLévy processesMonte Carloimportance samplingunbiased simulation

Mathematics Subject Classification ID

Related Items (1)

Fourier transform MCMC, heavy-tailed distributions, and geometric ergodicity

Cites Work

• Unnamed Item
• On simulation of tempered stable random variates
• Pricing of catastrophe insurance options written on a loss index with reestimation
• The Fourier-series method for inverting transforms of probability distributions
• Processes of normal inverse Gaussian type
• Monte Carlo option pricing for tempered stable (CGMY) processes
• Stochastic simulation: Algorithms and analysis
• Inverting Analytic Characteristic Functions and Financial Applications
• Sensitivity Estimates from Characteristic Functions
• Efficient Options Pricing Using the Fast Fourier Transform
• Monte Carlo Computation in Finance
• PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH
• A Fourier Transform Method for Spread Option Pricing
• A Method for Simulating Stable Random Variables
• Simulating Lévy Processes from Their Characteristic Functions and Financial Applications
• Financial Modelling with Jump Processes

This page was built for publication: Unbiased Simulation of Distributions with Explicitly Known Integral Transforms