Title :
Beta approximations for bridge sampling
Author :
Glasserman, Paul ; Kim, Kyoung-Kuk
Author_Institution :
Grad. Sch. of Bus., Columbia Univ., New York, NY, USA
Abstract :
We consider the problem of simulating X conditional on the value of X+Y, when X and Y are independent positive random variables. We propose approximate methods for sampling (X|X+Y) by approximating the fraction (X/z|X+ Y=z) with a beta random variable. We discuss applications to Levy processes and infinitely divisible distributions, and we report numerical tests for Poisson processes, tempered stable processes, and the Heston stochastic volatility model.
Keywords :
approximation theory; random processes; sampling methods; Heston stochastic volatility model; Levy processes; Poisson processes; beta random variables; bridge sampling; independent positive random variables; Bridges; Pricing; Probability distribution; Random variables; Sampling methods; Stochastic processes; Testing; Writing;
Conference_Titel :
Simulation Conference, 2008. WSC 2008. Winter
Conference_Location :
Austin, TX
Print_ISBN :
978-1-4244-2707-9
Electronic_ISBN :
978-1-4244-2708-6
DOI :
10.1109/WSC.2008.4736115
