Science.Online
Search
Publisher and Institutes
Akademie Verlag
Deutsches Institut für Urbanistik
Oldenbourg Wissenschaftsverlag
Walter de Gruyter
Schattauer
You are here: Home :: Keyword index :: eth bis gen :: Gabon - ganglion Gamma process

Items for "Gamma process"

An importance sampling method based on the density transformation of Lévy processes

In this paper, we develop an importance sampling method with the help of flexible control on the Lévy measure in the density transformation...

Keywords: CGMY process, Esscher transform, Gamma process, Meixner process, Monte Carlo simulations, series representation, subordination, variance reduction

04/2006 | Monte Carlo Methods and Applications, Walter de Gruyter