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Enhanced quasi-Monte Carlo methods with dimension reduction | IEEE Conference Publication | IEEE Xplore

Enhanced quasi-Monte Carlo methods with dimension reduction


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 t...Show More

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.
Date of Conference: 08-11 December 2002
Date Added to IEEE Xplore: 22 January 2003
Print ISBN:0-7803-7614-5
Conference Location: San Diego, CA, USA

References

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