Enhanced quasi-Monte Carlo methods with dimension reduction

Junichi Imai, Ken Seng Tan

研究成果: Conference article査読

15 被引用数 (Scopus)

抄録

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.

本文言語English
ページ(範囲)1502-1510
ページ数9
ジャーナルWinter Simulation Conference Proceedings
2
出版ステータスPublished - 2002 12月 1
外部発表はい
イベントProceedings of the 2002 Winter Simulation Conference - San Diego, CA, United States
継続期間: 2002 12月 82002 12月 11

ASJC Scopus subject areas

  • ソフトウェア
  • モデリングとシミュレーション
  • 安全性、リスク、信頼性、品質管理
  • 化学的な安全衛生
  • 応用数学

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