The stochastic collocation Monte Carlo sampler : highly efficient sampling from "expensive" distributions
L.A. Grzelak, J. A.S. Witteveen, M. Suárez-Taboada and C.W. Oosterlee
| Year of publication: |
2019
|
|---|---|
| Authors: | Grzelak, Lech A. ; Witteveen, J. A. S. ; Suárez-Taboada, M. ; Oosterlee, Cornelis Willebrordus |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 19.2019, 2, p. 339-356
|
| Subject: | Exact sampling | Heston | Lagrange interpolation | Monte Carlo | SABR | Squared Bessel | Stochastic collocation | Monte-Carlo-Simulation | Monte Carlo simulation | Stochastischer Prozess | Stochastic process | Stichprobenerhebung | Sampling | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2018.1459807 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012194657