"Monte Carlo Simulation with an Asymptotic Expansion in HJM Framework"(in Japanese)
AbstractWe 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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Bibliographic InfoPaper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE J-Series with number CIRJE-J-112.
Length: 31 pages
Date of creation: May 2004
Date of revision:
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