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dc.contributor.authorHormann, Wolfgang
dc.contributor.authorSak, Halis
dc.date.accessioned2016-05-09T12:36:39Z
dc.date.available2016-05-09T12:36:39Z
dc.date.issued2010-12
dc.identifier.issn0378-4754
dc.identifier.urihttp://hdl.handle.net/11413/1291
dc.description.abstractThe standard method for generating multi-t vectors is simple and convenient but it has the disadvantage that the generated multi-normal and multi-t vectors are not similar. For t-copula models this destroys much of the variance reduction when using the result of the multi-normal model as external control variate. Therefore we develop a new generation method for multi-t vectors. It is based on the polar method and numerical inversion, and generates multi-normal and multi-t vectors that are very similar. Numerical experiments with simple functions of the weighted sum of t-copula vectors and with pricing European basket options with a t-copula model confirm that the obtained variance reduction factors of the new method are high; 2-100 times higher than when using the standard generation method. (C) 2010 IMACS. Published by Elsevier B.V. All rights reserved.tr_TR
dc.language.isoen_UStr_TR
dc.publisherElsevier Science Bv, Po Box 211, 1000 Ae Amsterdam, Netherlandstr_TR
dc.relationMathematics And Computers In Simulationtr_TR
dc.subjectMonte Carlo simulationtr_TR
dc.subjectt-Copulatr_TR
dc.subjectControl variatetr_TR
dc.subjectPolar methodtr_TR
dc.subjectrisktr_TR
dc.subjectkontrol değişkentr_TR
dc.subjectpolar yöntemtr_TR
dc.titleT-Copula Generation For Control Variatestr_TR
dc.typeArticletr_TR
dc.identifier.wos285774200002
dc.identifier.wos285774200002en
dc.identifier.scopus2-s2.0-78649816142
dc.identifier.scopus2-s2.0-78649816142en


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