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| Author: | Akesson, F. Lehoczky, J. |
| Title: | Path generation for Quasi-Monte Carlo simulation of mortgage-backed securities |
| Journal: | Management Science
2000 : SEP, VOL. 46:9, p. 1171-1187 |
| Index terms: | MONTE CARLO TECHNIQUE SIMULATION MORTGAGES |
| Language: | eng |
| Abstract: | Monte Carlo simulation is playing an increasingly important role in the pricing and hedging of complex, path dependent financial instruments. Low discrepancy simulation methods offer the potential to provide faster rates of convergence than those of standard Monte Carlo methods; however, in high dimensional problems special methods are required to ensure that the faster convergence rated hold. Indeed, Ninomiya and Tezuka (1996) have shown high-dimensional examples, in which low discrepancy methods perform worse than Monte Carlo methods. |
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