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Calibration of financial models using quasi-Monte Carlo

Author

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  • Eichler Andreas
  • Leobacher Gunther
  • Zellinger Heidrun

    (Johannes Kepler Universität Linz, Austria.)

Abstract

In the area of financial mathematics Monte Carlo simulation is often successfully used to estimate the prices of certain products. However in many cases calibrating Monte Carlo based models to market prices turns out to be difficult due to stochastic noise arising in the objective functionals.

Suggested Citation

  • Eichler Andreas & Leobacher Gunther & Zellinger Heidrun, 2011. "Calibration of financial models using quasi-Monte Carlo," Monte Carlo Methods and Applications, De Gruyter, vol. 17(2), pages 99-131, January.
    • Handle: RePEc:bpj:mcmeap:v:17:y:2011:i:2:p:99-131:n:1
    DOI: 10.1515/mcma.2011.004
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    References listed on IDEAS

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