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

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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Year of publication:	2004-05
Authors:	Takahashi, Akihiko ; Matsushima, Shuichiro
Institutions:	Center for International Research on the Japanese Economy (CIRJE), Faculty of Economics

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Extent:	application/pdf
Series:	CIRJE J-Series.
Type of publication:	Book / Working Paper
Notes:	Number CIRJE-J-112 31 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005187216