Computing tails of compound distributions using direct numerical integration
نویسندگان
چکیده
منابع مشابه
Efficient Numerical Inversion of Characteristic Functions for Computing Tails of Compound Distributions
An adaptive direct numerical integration (DNI) algorithm is developed for inverting characteristic functions of compound distributions, enabling efficient computations of high quantiles and conditional Value at Risk (CVaR). A key innovation of the numerical scheme is an effective tail integration approximation that reduces the truncation errors significantly. High precision results of the 0.999...
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ژورنال
عنوان ژورنال: The Journal of Computational Finance
سال: 2009
ISSN: 1460-1559
DOI: 10.21314/jcf.2009.193