Efficient Numerical Inversion for Financial Simulations

DOI10.1007/978-3-642-04107-5_18zbMath1182.91195OpenAlexW44121935MaRDI QIDQ3405443

Halis Sak, Wolfgang Hörmann, Gerhard Derflinger, Josef Leydold

Publication date: 15 February 2010

Published in: Monte Carlo and Quasi-Monte Carlo Methods 2008 (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-04107-5_18

zbMATH Keywords

Gauss-Lobatto quadratureNewton interpolationcumulative distribution function (CDF)Cox-Ingersoll-Ross (CIR)

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Numerical interpolation (65D05) Approximate quadratures (41A55) Numerical quadrature and cubature formulas (65D32)

Related Items (3)

Efficient randomized quasi-Monte Carlo methods for portfolio market risk ⋮ \(t\)-Copula generation for control variates ⋮ A general control variate method for option pricing under Lévy processes

Uses Software

• ghyp

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