A QUASI-MONTE CARLO ALGORITHM FOR THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND VALUATION OF FINANCIAL DERIVATIVES
نویسندگان
چکیده
منابع مشابه
A Quasi-monte Carlo Algorithm for the Normal Inverse Gaussian Distribution and Valuation of Financial Derivatives
We propose a quasi-Monte Carlo (qMC) algorithm to simulate variates from the normal inverse Gaussian (NIG) distribution. The algorithm is based on a Monte Carlo technique found in Rydberg (Rydberg 1997), and is based on sampling three independent uniform variables. We apply the algorithm to three problems appearing in finance. First, we consider the valuation of plain vanilla call options and A...
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ژورنال
عنوان ژورنال: International Journal of Theoretical and Applied Finance
سال: 2006
ISSN: 0219-0249,1793-6322
DOI: 10.1142/s0219024906003810