12 citations · 25 across the 8 of their papers we have counts for
3 papers · 1 filter
Monte Carlo Estimation of the Density of the Sum of Dependent Random Variables
Patrick J. Laub, Robert Salomone, Zdravko I. Botev
We study an unbiased estimator for the density of a sum of random variables that are simulated from a computer model. A numerical study on examples with copula dependence is conduc…
Accurate Computation of the Distribution of Sums of Dependent Log-Normals with Applications to the Black-Scholes Model
Zdravko Botev, Robert Salomone, Daniel MacKinlay
We present a new Monte Carlo methodology for the accurate estimation of the distribution of the sum of dependent log-normal random variables. The methodology delivers statistically…
Stratified Splitting for Efficient Monte Carlo Integration
Radislav Vaisman, Robert Salomone, Dirk P. Kroese
The efficient evaluation of high-dimensional integrals is of importance in both theoretical and practical fields of science, such as data science, statistical physics, and machine…