Simulating random variables using moment-generating functions and the saddlepoint approximation (Q5219231)
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scientific article; zbMATH DE number 7178150
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| English | Simulating random variables using moment-generating functions and the saddlepoint approximation |
scientific article; zbMATH DE number 7178150 |
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Simulating random variables using moment-generating functions and the saddlepoint approximation (English)
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9 March 2020
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simulation
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saddlepoint approximation
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sum of gamma random variables
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stochastic volatility
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Heston model
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Feller process
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0.7752227187156677
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0.7682182192802429
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0.7561264634132385
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0.7469774484634399
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