Inverting the symmetrical beta distribution

DOI10.1145/1186785.1186786MaRDI QIDQ3549199zbMATH OpenOpenAlexWikidataFDO

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

Mathematics Subject Classification ID

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Cited in

(6)

• Forward or backward simulation? A comparative study
• 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

Describes a project that uses

Uses Software

• Cephes
• DCDFLIB
• BRATIO

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