Inverting the symmetrical beta distribution

DOI10.1145/1186785.1186786zbMATH Open1230.65014OpenAlexW1990576050WikidataQ113310673 ScholiaQ113310673MaRDI QIDQ3549199FDOQ3549199

Authors: Pierre L'Ecuyer, Richard Simard 

Publication date: 21 December 2008

Published in: ACM Transactions on Mathematical Software (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1145/1186785.1186786

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Mathematics Subject Classification ID

Cited In (6)

• Optimising Poisson bridge constructions for variance reduction methods
• Primal-dual quasi-Monte Carlo simulation with dimension reduction for pricing American options
• Quasi-Monte Carlo simulation for American option sensitivities
• A third-order iterative algorithm for inversion of cumulative central beta distribution
• Efficient algorithms for the inversion of the cumulative central beta distribution
• Forward or backward simulation? A comparative study

Uses Software

• BRATIO
• DCDFLIB
• Cephes

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