논문
Simulation of the Shifted Poisson Distribution with an Application to the CEV Model
- 저자Chulmin Kang,
- 학술지Management science and financial engineering : MSFE 2014(5), 27-32
- 등재유형
- 게재일자(2014)
This paper introduces three different simulation algorithms of the shifted Poisson distribution. The first algorithm is the inverse transform method, the second is the rejection sampling, and the third is gamma-Poisson hierarchy sampling. Three algorithms have different regions of parameters at which they are efficient. We numerically compare those algorithms with different sets of parameters. As an application, we give a simulation method of the constant elasticity of variance model.
This paper introduces three different simulation algorithms of the shifted Poisson distribution. The first algorithm is the inverse transform method, the second is the rejection sampling, and the third is gamma-Poisson hierarchy sampling. Three algorithms have different regions of parameters at which they are efficient. We numerically compare those algorithms with different sets of parameters. As an application, we give a simulation method of the constant elasticity of variance model.
