A quasi-Monte Carlo algorithm for the normal inverse Gaussian distribution and valuation of financial derivatives
Year of publication: |
2006
|
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Authors: | Benth, Fred Espen ; Groth, Martin ; Kettler, Paul C. |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 9.2006, 6, p. 843-867
|
Subject: | Monte-Carlo-Simulation | Monte Carlo simulation | Statistische Verteilung | Statistical distribution | Derivat | Derivative | Volatilität | Volatility |
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