The stochastic collocation Monte Carlo sampler : highly efficient sampling from "expensive" distributions
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 |
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