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Continuous random variate generation by fast numerical inversion
3 references·4 citing·24 second hop
Continuous random variate generation by fast numerical inversion (2003)Continuous random variate generation by f…A guide to simulation (2nd ed.) (1986)A guide to simulation (2nd ed…Simulation Modeling and Analysis. (1983)Simulation Modeling and Analy…A Guide to Simulation (1983)A Guide to SimulationCopulas Theory for Probabilistic Assessment: Overview with Application to Airplane Performance Analysis (2015)Copulas Theory for Probabilis…Simulating Lévy Processes from Their Characteristic Functions and Financial Applications (2012)Simulating Lévy Processes fro…A general control variate method for option pricing under Lévy processes (2012)A general control variate met…An Accelerating Quasi-Monte Carlo Method for Option Pricing Under the Generalized Hyperbolic Lévy Process (2009)An Accelerating Quasi-Monte C…Exceptional Paper—Probability Encoding in Decision Analysis (1975)The Joy of Copulas: Bivariate Distributions with Uniform Marginals (1986)Advanced probabilistic structural analysis method for implicit performance functions (1990)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Global sensitivity indices for nonlinear mathematical models and their Monte Carlo estimates (2001)Theory of rational option pricing (2005)Pricing of Discretely Sampled Asian Options Under Levy Processes (2012)SINH-ACCELERATION: EFFICIENT EVALUATION OF PROBABILITY DISTRIBUTIONS, OPTION PRICING, AND MONTE CARLO SIMULATIONS (2019)Exact simulation of Ornstein–Uhlenbeck tempered stable processes (2021)The Variance Gamma (V.G.) Model for Share Market Returns (1990)Financial Modelling with Jump Processes (2003)Monte Carlo Methods in Financial Engineering (2003)A new hybrid Monte Carlo simulation for Asian options pricing (2013)Variance Reduction for Asian Options under a General Model Framework (2014)Offline Simulation Online Application: A New Framework of Simulation-Based Decision Making (2019)Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance (1994)Advancing the art of simulation in the social sciences (1997)Simulation Budget Allocation for Further Enhancing the Efficiency of Ordinal Optimization (2000)Costs, effects and C/E‐ratios alongside a clinical trial (1994)Model Transparency and Validation (2012)Testing ecological models: the meaning of validation (1996)Kriging Metamodeling in Simulation: A Review (2007)Verification and validation of simulation models (2012)
this work references cited by second hop

References

  • 1983Simulation Modeling and Analysis.8,841 cited
  • 1983A Guide to Simulation1,468 cited
  • 1986A guide to simulation (2nd ed.)500 cited

Cited by

  • 2012Simulating Lévy Processes from Their Characteristic Functions and Financial Applications32 cited
  • 2012A general control variate method for option pricing under Lévy processes31 cited
  • 2009An Accelerating Quasi-Monte Carlo Method for Option Pricing Under the Generalized Hyperbolic Lévy Process26 cited
  • 2015Copulas Theory for Probabilistic Assessment: Overview with Application to Airplane Performance Analysis6 cited

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