Simulation of Tempered Stable Lévy Bridges and Its Applications (Q5740225): Difference between revisions

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-.1287/opre.2016.1477
@@ Property / DOI: 10.1287/opre.2016.1477 / rank @@
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+The Fourier-series method for inverting transforms of probability distributions
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+Markov Bridges, Bisection and Variance Reduction
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+Efficient Monte Carlo and Quasi–Monte Carlo Option Pricing Under the Variance Gamma Model
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+Q3859099
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+Unbiased Monte Carlo valuation of lookback, swing and barrier options with continuous monitoring under variance gamma models
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+Exact and Computationally Efficient Likelihood-Based Estimation for Discretely Observed Diffusion Processes (with Discussion)
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+Simple simulation of diffusion bridges with application to likelihood inference for diffusions
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+INFORMATION-BASED ASSET PRICING
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+Saddlepoint methods for option pricing
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+Pricing options on realized variance
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+A Method for Simulating Stable Random Variables
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+Saddlepoint Approximations in Statistics
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+Large portfolio losses
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+Random variate generation for exponentially and polynomially tilted stable distributions
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+Small-time expansions for the transition distributions of Lévy processes
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+Small-time asymptotics of stopped Lévy bridges and simulation schemes with controlled bias
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+Saddlepoint approximations for affine jump-diffusion models
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+Sensitivity Estimates from Characteristic Functions
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+On a new Class of Tempered Stable Distributions: Moments and Regular Variation
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+Sampling Exponentially Tilted Stable Distributions
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+Lévy random bridges and the modelling of financial information
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+On simulation of tempered stable random variates
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+On Generating Monte Carlo Samples of Continuous Diffusion Bridges
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+Saddle point approximation for the distribution of the sum of independent random variables
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+Generating Random Variates Using Transformations with Multiple Roots
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+A decomposition of Bessel Bridges
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+Monte Carlo option pricing for tempered stable (CGMY) processes
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+On inference for partially observed nonlinear diffusion models using the Metropolis-Hastings algorithm
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+Saddlepoint approximations to option prices
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+Tempering stable processes
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+Expansion of transition distributions of Lévy processes in small time
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@@ Property / DOI @@
+.1287/OPRE.2016.1477
@@ Property / DOI: 10.1287/OPRE.2016.1477 / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:5740225