Unbiased simulation of distributions with explicitly known integral transforms

DOI10.1007/978-3-319-33507-0_9MaRDI QIDQ2957032zbMATH OpenOpenAlexFDO

Authors D. Belomestny, Nan Chen, YiWei Wang

Publication date 20 January 2017

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-33507-0_9

zbMATH Keywords

Fourier transformimportance samplingLévy processesMonte Carlounbiased simulation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Sampling theory, sample surveys (62D05) Inference from stochastic processes (62M99) Monte Carlo methods (65C05)

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Cites work

• A Fourier transform method for spread option pricing
• A Method for Simulating Stable Random Variables
• Efficient options pricing using the fast Fourier transform
• Financial Modelling with Jump Processes
• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• Inverting analytic characteristic functions and financial applications
• Monte Carlo Computation in Finance
• Monte Carlo option pricing for tempered stable (CGMY) processes
• On simulation of tempered stable random variates
• PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH
• Pricing of catastrophe insurance options written on a loss index with reestimation
• Processes of normal inverse Gaussian type
• Sensitivity estimates from characteristic functions
• Simulating Lévy processes from their characteristic functions and financial applications
• Stochastic simulation: Algorithms and analysis
• The Fourier-series method for inverting transforms of probability distributions

Cited in

(1)

• Fourier transform MCMC, heavy-tailed distributions, and geometric ergodicity

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