Numerical integration rules for multivariate inversions

DOI10.1080/00949659108811337MaRDI QIDQ3135446zbMATH OpenOpenAlexWikidataFDO

Authors N. G. Shephard

Publication date 7 October 1993

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://ora.ox.ac.uk/objects/uuid:da00666a-4790-4666-a54c-b81fc6fc49cb

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Probabilistic methods, stochastic differential equations (65C99) Numerical integration (65D30)

Cites work

• A note on the joint distribution of correlated quadratic forms
• Approximate Fourier analysis of distribution functions
• Approximations for densities of sufficient estimators
• Computing the distribution of quadratic forms in normal variables
• Fast Evaluation of the Distribution of the Durbin-Watson and Other Invariant Test Statistics in Time Series Regression
• scientific article; zbMATH DE number 3357844 (Why is no real title available?)
• Inversion Formulae for the Distribution of Ratios
• Numerical inversion of a characteristic function

Cited in

(4)

• Saddlepoint approximations to option price in a general equilibrium model
• A numerical inversion of the bivariate characteristic function
• From characteristic functions to multivariate distribution functions and European option prices by the (damped) COS method
• A fast Fourier transform technique for pricing American options under stochastic volatility

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