کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9664008 | 1446253 | 2005 | 12 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A volatility decomposition control variate technique for Monte Carlo simulations of Heath Jarrow Morton models
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موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
The aim of this work is to develop a simulation approach to the yield curve evolution in the Heath, Jarrow and Morton [Econometrica 60 (1) (1992) 77] framework. The stochastic quantities considered as affecting the forward rate volatility function are the spot rate and the forward rate. A decomposition of the volatility function into a Hull and White [Rev. Financial Stud. 3 (1990) 573] volatility and a remainder allows us to develop an efficient Control Variate Method that makes use of the closed form solution of the Hull and White call option. This technique considerably speeds up the simulation algorithm to approximate call option values with Monte Carlo simulation.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 161, Issue 2, 1 March 2005, Pages 325-336
Journal: European Journal of Operational Research - Volume 161, Issue 2, 1 March 2005, Pages 325-336
نویسندگان
Carl Chiarella, Les Clewlow, Silvana Musti,