DocumentCode
2179326
Title
Beta approximations for bridge sampling
Author
Glasserman, Paul ; Kim, Kyoung-Kuk
Author_Institution
Grad. Sch. of Bus., Columbia Univ., New York, NY, USA
fYear
2008
fDate
7-10 Dec. 2008
Firstpage
569
Lastpage
577
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;
fLanguage
English
Publisher
ieee
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
Type
conf
DOI
10.1109/WSC.2008.4736115
Filename
4736115
Link To Document