A combined Monte Carlo and quasi-Monte Carlo method with applications to option pricing.
Roşca, Natalia C. (2009)
Acta Universitatis Apulensis. Mathematics - Informatics
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Displaying similar documents to “Applications of simulation methods to barrier options driven by Lévy processes.”
A combined Monte Carlo and quasi-Monte Carlo method with applications to option pricing.
A mixed Monte Carlo and quasi-Monte Carlo sequence for multidimensional integral estimation.
Roşca, Alin V. (2007)
Acta Universitatis Apulensis. Mathematics - Informatics
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Risk management using var simulation with applications to Bucharest stock exchange.
Roşca, Alin V. (2008)
Acta Universitatis Apulensis. Mathematics - Informatics
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On -discrepancy and mixed Monte Carlo and quasi-Monte Carlo sequences.
Gnewuch, Michael, Roşca, Alin V. (2009)
Acta Universitatis Apulensis. Mathematics - Informatics
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Records and concomitants.
Ahsanullah, M. (2009)
Bulletin of the Malaysian Mathematical Sciences Society. Second Series
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A generalization of the Gumbel distribution
Shola Adeyemi, Mathew Oladejo Ojo (2003)
Kragujevac Journal of Mathematics
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Corrigendum to the paper "On the distribution of s-dimensional Kronecker sequences" Acta Arith. 51 (1988), 335-347
Gerhard Larcher (1991)
Acta Arithmetica
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Time-dependent barrier options and boundary crossing probabilities.
Novikov, A., Frishling, V., Kordzakhia, N. (2003)
Georgian Mathematical Journal
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On bounds for the characteristic functions of some degenerate multidimensional distributions.
Shervashidze, T. (2003)
Georgian Mathematical Journal
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Multivariate negative binomial distributions generated by multivariate exponential distributions
Bolesław Kopociński (1999)
Applicationes Mathematicae
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We define a multivariate negative binomial distribution (MVNB) as a bivariate Poisson distribution function mixed with a multivariate exponential (MVE) distribution. We focus on the class of MVNB distributions generated by Marshall-Olkin MVE distributions. For simplicity of notation we analyze in detail the class of bivariate (BVNB) distributions. In applications the standard data from [2] and [7] and data concerning parasites of birds from [4] are used.
The regenerative process with rare event appears on the second phase.
Munteanu, Bogdan-Gheorghe (2006)
General Mathematics
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On some Mixture Distributions
Nakhi, Y. Ben, Kalla, S.L. (2004)
Fractional Calculus and Applied Analysis
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The aim of this paper is to establish some mixture distributions that arise in stochastic processes. Some basic functions associated with the probability mass function of the mixture distributions, such as k-th moments, characteristic function and factorial moments are computed. Further we obtain a three-term recurrence relation for each established mixture distribution.