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Exact simulation for a class of tempered stable and related distributions - MaRDI portal

Exact simulation for a class of tempered stable and related distributions

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Publication:6583730

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DOI10.1145/3184453zbMath1542.60035MaRDI QIDQ6583730

Angelos Dassios, Hongbiao Zhao, Yan Qu

Publication date: 6 August 2024

Published in: ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)

zbMATH Keywords

Monte Carlo simulation Lévy process exact simulation stable distribution leptokurtosis tempered stable distribution Lévy subordinator exponentially tilted stable distribution backward recursive scheme

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Monte Carlo methods (65C05)

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