Enhanced quasi-Monte Carlo methods with dimension reduction

Junichi Imai, Ken Seng Tan

Research output: Chapter in Book/Report/Conference proceedingConference contribution

13 Citations (Scopus)

Abstract

In recent years, the quasi-Monte Carlo approach for pricing high-dimensional derivative securities has been used widely relative to other competitive approaches such as the Monte Carlo methods. Such success can be, in part, attributed to the notion of effective dimension of the finance problems. In this paper, we provide additional insight on the connection between the effective dimension and the quasi-Monte Carlo method. We also propose a dimension reduction technique which further enhances the quasi-Monte Carlo method for derivative pricing. The efficiency of the proposed method is illustrated by applying it to high-dimensional multi-factor path-dependent derivative securities.

Original languageEnglish
Title of host publicationWinter Simulation Conference Proceedings
EditorsE. Yucesan, C.H. Chen, J.L. Snowdon, J.M. Charnes
Pages1502-1510
Number of pages9
Volume2
Publication statusPublished - 2002
Externally publishedYes
EventProceedings of the 2002 Winter Simulation Conference - San Diego, CA, United States
Duration: 2002 Dec 82002 Dec 11

Other

OtherProceedings of the 2002 Winter Simulation Conference
CountryUnited States
CitySan Diego, CA
Period02/12/802/12/11

Fingerprint

Quasi-Monte Carlo Methods
Dimension Reduction
Effective Dimension
Monte Carlo methods
Derivatives
Derivative
Pricing
High-dimensional
Quasi-Monte Carlo
Finance
Monte Carlo method
Costs
Path
Dependent

ASJC Scopus subject areas

  • Chemical Health and Safety
  • Software
  • Safety, Risk, Reliability and Quality
  • Applied Mathematics
  • Modelling and Simulation

Cite this

Imai, J., & Tan, K. S. (2002). Enhanced quasi-Monte Carlo methods with dimension reduction. In E. Yucesan, C. H. Chen, J. L. Snowdon, & J. M. Charnes (Eds.), Winter Simulation Conference Proceedings (Vol. 2, pp. 1502-1510)

Enhanced quasi-Monte Carlo methods with dimension reduction. / Imai, Junichi; Tan, Ken Seng.

Winter Simulation Conference Proceedings. ed. / E. Yucesan; C.H. Chen; J.L. Snowdon; J.M. Charnes. Vol. 2 2002. p. 1502-1510.

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Imai, J & Tan, KS 2002, Enhanced quasi-Monte Carlo methods with dimension reduction. in E Yucesan, CH Chen, JL Snowdon & JM Charnes (eds), Winter Simulation Conference Proceedings. vol. 2, pp. 1502-1510, Proceedings of the 2002 Winter Simulation Conference, San Diego, CA, United States, 02/12/8.
Imai J, Tan KS. Enhanced quasi-Monte Carlo methods with dimension reduction. In Yucesan E, Chen CH, Snowdon JL, Charnes JM, editors, Winter Simulation Conference Proceedings. Vol. 2. 2002. p. 1502-1510
Imai, Junichi ; Tan, Ken Seng. / Enhanced quasi-Monte Carlo methods with dimension reduction. Winter Simulation Conference Proceedings. editor / E. Yucesan ; C.H. Chen ; J.L. Snowdon ; J.M. Charnes. Vol. 2 2002. pp. 1502-1510
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