Sinh-acceleration: efficient evaluation of probability distributions, option pricing, and Monte Carlo simulations (Q5377002)
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scientific article; zbMATH DE number 7057295
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| English | Sinh-acceleration: efficient evaluation of probability distributions, option pricing, and Monte Carlo simulations |
scientific article; zbMATH DE number 7057295 |
Statements
SINH-ACCELERATION: EFFICIENT EVALUATION OF PROBABILITY DISTRIBUTIONS, OPTION PRICING, AND MONTE CARLO SIMULATIONS (English)
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21 May 2019
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\(\sinh\)-regular Lévy processes
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\(\sinh\)-regular distributions
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\(\sinh\)-acceleration
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conformal principal components
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Heston model
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KoBoL
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CGMY
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CIR
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CIR subordinator
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Monte Carlo simulations
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0.7703627943992615
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0.7617912292480469
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0.7300628423690796
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0.7245659828186035
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0.7225679755210876
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