Efficient simulation of gamma and variance-gamma processes

Winter Simulation Conference Proceedings

Volumn 1, Issue , 2003, Pages 319-326

  Avramidis, Athanassios N ^a   L'Ecuyer, Pierre ^a   Tremblay, Pierre Alexandre ^a  

^a UNIVERSITÉ DE MONTRÉAL   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

ALGORITHMS; APPROXIMATION THEORY; BROWNIAN MOVEMENT; COMPUTER SIMULATION; MATHEMATICAL MODELS; MONTE CARLO METHODS; PARAMETER ESTIMATION; RANDOM PROCESSES; SAMPLING; VARIATIONAL TECHNIQUES; ECONOMICS;

QUASI-MONTE CARLO (QMC) METHODS; VARIANCE ANALYSIS;

FINANCE; EFFICIENCY;

BROWNIAN; BROWNIAN BRIDGE; CONDITIONAL DISTRIBUTION; DISCRETE TIME; EFFICIENT SIMULATION; EXPLICIT FORM; GAMMA PROCESS; QUASI-MONTE CARLO; RANDOM TIME CHANGES; TIME-SCALES;

EID: 1642560580     PISSN: 02750708     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

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