Enhanced quasi-Monte Carlo methods with dimension reduction

Junichi Imai, Ken Seng Tan

Research output: Contribution to journalConference article

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
Pages (from-to)1502-1510
Number of pages9
JournalWinter Simulation Conference Proceedings
Volume2
Publication statusPublished - 2002 Dec 1
Externally publishedYes
EventProceedings of the 2002 Winter Simulation Conference - San Diego, CA, United States
Duration: 2002 Dec 82002 Dec 11

ASJC Scopus subject areas

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

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