Simulating random variables using moment-generating functions and the saddlepoint approximation

DOI10.1080/00949655.2012.708343MaRDI QIDQ5219231zbMATH OpenOpenAlexFDO

Authors Donald L. McLeish

Publication date 9 March 2020

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

Full work available at URL https://doi.org/10.1080/00949655.2012.708343

zbMATH Keywords

Feller processHeston modelsaddlepoint approximationsimulationstochastic volatilitysum of gamma random variables

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to economics (62P20)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A theory of the term structure of interest rates
• Exact saddlepoint approximations
• Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
• Gamma expansion of the Heston stochastic volatility model
• scientific article; zbMATH DE number 3954145 (Why is no real title available?)
• scientific article; zbMATH DE number 4100386 (Why is no real title available?)
• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• scientific article; zbMATH DE number 3338262 (Why is no real title available?)
• On the Bessel distribution and related problems
• Saddle point approximation for the distribution of the sum of independent random variables
• Saddlepoint approximations to the limiting distribution of the modified Anderson-Darling test statistic
• Saddlepoint methods for option pricing
• Simulating bessel random variables
• Stochastic simulation: Algorithms and analysis

Cited in

(4)

• Transmuted Erlang-truncated exponential distribution
• A simple approximation for the simulation of continuous random variables
• Simulation de lois conjuguées et application à l'estimation de la transformée de Cramer dans ℝd
• Marshall-Olkin generalized Erlang-truncated exponential distribution: Properties and applications

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