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Papers

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

  • Research Fields수학원리응용센터
  • AuthorChulmin Kang,
  • JournalManagement science and financial engineering : MSFE 2014(5), 27-32 (2014
  • Classification of papers비SCI
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.