[KSCI] Korea Science Citation Index Service

http://dx.doi.org/10.7737/MSFE.2014.20.1.027

Simulation of the Shifted Poisson Distribution with an Application to the CEV Model

Kang, Chulmin (Center for Applications of Mathematical Principles, National Institute for Mathematical Sciences)

Publication Information

Management Science and Financial Engineering / v.20, no.1, 2014 , pp. 27-32 More about this Journal

Abstract

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.

Keywords

Simulation; Shifted Poisson Distributions; Inverse Transform Methods; Rejection Sampling;

Citations & Related Records

Reference

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