SINH-ACCELERATION: EFFICIENT EVALUATION OF PROBABILITY DISTRIBUTIONS, OPTION PRICING, AND MONTE CARLO SIMULATIONS
SINH-ACCELERATION: EFFICIENT EVALUATION OF PROBABILITY DISTRIBUTIONS, OPTION PRICING, AND MONTE CARLO SIMULATIONS
Characteristic functions of several popular classes of distributions and processes admit analytic continuation into unions of strips and open coni around [Formula: see text]. The Fourier transform techniques reduce calculation of probability distributions and option prices in the evaluation of integrals whose integrands are analytic in domains enjoying these properties. …