\(t\)-Copula generation for control variates
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Publication:622215
DOI10.1016/j.matcom.2010.07.005zbMath1207.65019OpenAlexW1975503939MaRDI QIDQ622215
Publication date: 31 January 2011
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.matcom.2010.07.005
numerical experimentsMonte Carlo simulationnumerical inversionvariance reductioncontrol variatepolar method\(t\)-copulamulti-normal modelpricing European basket options
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Cites Work
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- Efficient risk simulations for linear asset portfolios in the \(t\)-copula model
- On methods for generating uniform random points on the surface of a sphere
- Efficient Monte Carlo pricing of European options using mean value control variates
- Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation
- Efficient Numerical Inversion for Financial Simulations
- Accurate closed-form approximation for pricing Asian and basket options
- Polar Generation of Random Variates with the t-Distribution
- Random variate generation by numerical inversion when only the density is known
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