Hormann, WolfgangSak, Halis2016-05-092016-05-092010-120378-4754http://hdl.handle.net/11413/1291The standard method for generating multi-t vectors is simple and convenient but it has the disadvantage that the generated multi-normal and multi-t vectors are not similar. For t-copula models this destroys much of the variance reduction when using the result of the multi-normal model as external control variate. Therefore we develop a new generation method for multi-t vectors. It is based on the polar method and numerical inversion, and generates multi-normal and multi-t vectors that are very similar. Numerical experiments with simple functions of the weighted sum of t-copula vectors and with pricing European basket options with a t-copula model confirm that the obtained variance reduction factors of the new method are high; 2-100 times higher than when using the standard generation method. (C) 2010 IMACS. Published by Elsevier B.V. All rights reserved.en-USMonte Carlo simulationt-CopulaControl variatePolar methodriskkontrol değişkenpolar yöntemArticle2857742000022857742000022-s2.0-786498161422-s2.0-78649816142