Generating samples from generalized hyperbolic distributions and non-central chi-square distributions by inversion has become an important task for the simulation of recent models in finance in the framework of (quasi-) Monte Carlo.
However, their distribution functions are quite expensive to evaluate and thus numerical methods like root finding algorithms are extremely slow.
In this paper we demonstrate how our new method based on Newton inter-polation and Gauss-Lobatto quadrature can be utilized for financial applications.
Its fast marginal generation times make it competitive, even for situations where the parameters are not always constant.
|Title of host publication||Monte Carlo and Quasi-Monte Carlo Methods 2008|
|Editors|| Pierre L'Ecuyer and Art B. Owen|
|Place of Publication||Berlin|
|Pages||297 - 304|
|Publication status||Published - 1 Dec 2009|