Generating inverse Gaussian random variates by approximation
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- Fajardo, José & Farias, Aquiles, 2004.
"Generalized Hyperbolic Distributions and Brazilian Data,"
Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 24(2), November.
- José Fajardo & Aquiles Farias, 2002. "Generalized Hyperbolic Distributions and Brazilian Data," Working Papers Series 52, Central Bank of Brazil, Research Department.
- Fajardo, J. & Farias, A., 2003. "Generalized Hyperbolic Distributions and Brazilian Data," Finance Lab Working Papers flwp_57, Finance Lab, Insper Instituto de Ensino e Pesquisa.
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- S. T. Tse & Justin W. L. Wan, 2013. "Low-bias simulation scheme for the Heston model by Inverse Gaussian approximation," Quantitative Finance, Taylor & Francis Journals, vol. 13(6), pages 919-937, May.
- Leydold, Josef & Hörmann, Wolfgang, 2011. "Generating generalized inverse Gaussian random variates by fast inversion," Computational Statistics & Data Analysis, Elsevier, vol. 55(1), pages 213-217, January.
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