Simulating random variables using moment-generating functions and the saddlepoint approximation

DOI10.1080/00949655.2012.708343zbMath1453.62156OpenAlexW1989258566MaRDI QIDQ5219231

Donald L. McLeish

Publication date: 9 March 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2012.708343

zbMATH Keywords

simulationsaddlepoint approximationstochastic volatilityFeller processHeston modelsum of gamma random variables

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08)

Related Items (2)

Transmuted Erlang-truncated exponential distribution ⋮ Marshall-Olkin generalized Erlang-truncated exponential distribution: Properties and applications

Cites Work

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• Gamma expansion of the Heston stochastic volatility model
• Simulating bessel random variables
• Stochastic simulation: Algorithms and analysis
• A Theory of the Term Structure of Interest Rates
• Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
• Saddlepoint methods for option pricing
• Saddlepoint Approximations to the Limiting Distribution of the Modified Anderson–Darling Test Statistic
• Exact saddlepoint approximations
• Saddle point approximation for the distribution of the sum of independent random variables
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• On the Bessel distribution and related problems

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