Numerical integration rules for multivariate inversions

DOI10.1080/00949659108811337zbMath0800.62269OpenAlexW2128367097WikidataQ57259052 ScholiaQ57259052MaRDI QIDQ3135446

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) Numerical integration (65D30) Probabilistic methods, stochastic differential equations (65C99)

Related Items

A numerical inversion of the bivariate characteristic function, A fast Fourier transform technique for pricing American options under stochastic volatility, Saddlepoint approximations to option price in a general equilibrium model

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