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"Monte Carlo Simulation with an Asymptotic Expansion in HJM Framework"(in Japanese)

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Author Info

  • Akihiko Takahashi

    (Faculty of Economics, The University of Tokyo)

  • Shuichiro Matsushima

    (The University of Tokyo)

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    Abstract

    We developed a variance reduction method of Monte Carlo simulations as well as an approximation formula based on an asymptotic expansion approach for pricing bond options and swaptions in HJM framework. As a numerical example we applied the technique to a realistic two-factor model and confirmed its validity.

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    File URL: http://www.cirje.e.u-tokyo.ac.jp/research/dp/2004/2004cj112.pdf
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    Bibliographic Info

    Paper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE J-Series with number CIRJE-J-112.

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    Length: 31 pages
    Date of creation: May 2004
    Date of revision:
    Handle: RePEc:tky:jseres:2004cj112

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