Enhancing Quasi-Monte Carlo Simulation by Minimizing Effective Dimension for Derivative Pricing
Author
Abstract
Suggested Citation
DOI: 10.1007/s10614-017-9732-2
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Xiaoqun Wang & Ken Seng Tan, 2013. "Pricing and Hedging with Discontinuous Functions: Quasi-Monte Carlo Methods and Dimension Reduction," Management Science, INFORMS, vol. 59(2), pages 376-389, July.
- Paul Glasserman & Philip Heidelberger & Perwez Shahabuddin, 1999. "Asymptotically Optimal Importance Sampling and Stratification for Pricing Path‐Dependent Options," Mathematical Finance, Wiley Blackwell, vol. 9(2), pages 117-152, April.
- Xiaoqun Wang, 2009. "Dimension Reduction Techniques in Quasi-Monte Carlo Methods for Option Pricing," INFORMS Journal on Computing, INFORMS, vol. 21(3), pages 488-504, August.
- Xiaoqun Wang & Ian H. Sloan, 2011. "Quasi-Monte Carlo Methods in Financial Engineering: An Equivalence Principle and Dimension Reduction," Operations Research, INFORMS, vol. 59(1), pages 80-95, February.
- Spassimir H. Paskov & Joseph F. Traub, 1995. "Faster Valuation of Financial Derivatives," Working Papers 95-03-034, Santa Fe Institute.
- Xiaoqun Wang, 2016. "Handling Discontinuities in Financial Engineering: Good Path Simulation and Smoothing," Operations Research, INFORMS, vol. 64(2), pages 297-314, April.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Paul Bilokon & Sergei Kucherenko & Casey Williams, 2022. "Quasi-Monte Carlo methods for calculating derivatives sensitivities on the GPU," Papers 2209.11337, arXiv.org.
- Chao Yu & Xiaoqun Wang, 2023. "Quasi-Monte Carlo-Based Conditional Malliavin Method for Continuous-Time Asian Option Greeks," Computational Economics, Springer;Society for Computational Economics, vol. 62(1), pages 325-360, June.
- Zhijian He & Xiaoqun Wang, 2021. "An Integrated Quasi-Monte Carlo Method for Handling High Dimensional Problems with Discontinuities in Financial Engineering," Computational Economics, Springer;Society for Computational Economics, vol. 57(2), pages 693-718, February.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Xiaoqun Wang, 2016. "Handling Discontinuities in Financial Engineering: Good Path Simulation and Smoothing," Operations Research, INFORMS, vol. 64(2), pages 297-314, April.
- Xiaoqun Wang & Ian H. Sloan, 2011. "Quasi-Monte Carlo Methods in Financial Engineering: An Equivalence Principle and Dimension Reduction," Operations Research, INFORMS, vol. 59(1), pages 80-95, February.
- Zhijian He & Xiaoqun Wang, 2021. "An Integrated Quasi-Monte Carlo Method for Handling High Dimensional Problems with Discontinuities in Financial Engineering," Computational Economics, Springer;Society for Computational Economics, vol. 57(2), pages 693-718, February.
- Xiaoqun Wang & Ken Seng Tan, 2013. "Pricing and Hedging with Discontinuous Functions: Quasi-Monte Carlo Methods and Dimension Reduction," Management Science, INFORMS, vol. 59(2), pages 376-389, July.
- Nabil Kahalé, 2020. "Randomized Dimension Reduction for Monte Carlo Simulations," Management Science, INFORMS, vol. 66(3), pages 1421-1439, March.
- Borgonovo, Emanuele & Rabitti, Giovanni, 2023. "Screening: From tornado diagrams to effective dimensions," European Journal of Operational Research, Elsevier, vol. 304(3), pages 1200-1211.
- Dingeç, Kemal Dinçer & Hörmann, Wolfgang, 2013. "Control variates and conditional Monte Carlo for basket and Asian options," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 421-434.
- Nicola Cufaro Petroni & Piergiacomo Sabino, 2013. "Pricing and Hedging Asian Basket Options with Quasi-Monte Carlo Simulations," Methodology and Computing in Applied Probability, Springer, vol. 15(1), pages 147-163, March.
- Harase Shin, 2019. "Comparison of Sobol’ sequences in financial applications," Monte Carlo Methods and Applications, De Gruyter, vol. 25(1), pages 61-74, March.
- Kahalé, Nabil, 2020. "General multilevel Monte Carlo methods for pricing discretely monitored Asian options," European Journal of Operational Research, Elsevier, vol. 287(2), pages 739-748.
- Fredrik Åkesson & John P. Lehoczky, 2000. "Path Generation for Quasi-Monte Carlo Simulation of Mortgage-Backed Securities," Management Science, INFORMS, vol. 46(9), pages 1171-1187, September.
- Marco Bianchetti & Sergei Kucherenko & Stefano Scoleri, 2015. "Pricing and Risk Management with High-Dimensional Quasi Monte Carlo and Global Sensitivity Analysis," Papers 1504.02896, arXiv.org.
- Yang, Jun & He, Ping & Fang, Kai-Tai, 2022. "Three kinds of discrete approximations of statistical multivariate distributions and their applications," Journal of Multivariate Analysis, Elsevier, vol. 188(C).
- Han, Chulwoo & Park, Frank C., 2022. "A geometric framework for covariance dynamics," Journal of Banking & Finance, Elsevier, vol. 134(C).
- George Chang, 2018. "Examining the Efficiency of American Put Option Pricing by Monte Carlo Methods with Variance Reduction," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 10(2), pages 10-13, February.
- Xie, Fei & He, Zhijian & Wang, Xiaoqun, 2019. "An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options," European Journal of Operational Research, Elsevier, vol. 274(2), pages 759-772.
- Okten, Giray & Eastman, Warren, 2004. "Randomized quasi-Monte Carlo methods in pricing securities," Journal of Economic Dynamics and Control, Elsevier, vol. 28(12), pages 2399-2426, December.
- Xueping Wu & Jin Zhang, 1999. "Options on the minimum or the maximum of two average prices," Review of Derivatives Research, Springer, vol. 3(2), pages 183-204, May.
- Paul Glasserman & Philip Heidelberger & Perwez Shahabuddin, 2000. "Variance Reduction Techniques for Estimating Value-at-Risk," Management Science, INFORMS, vol. 46(10), pages 1349-1364, October.
- Shih-Kuei Lin & Ren-Her Wang & Cheng-Der Fuh, 2006. "Risk Management for Linear and Non-Linear Assets: A Bootstrap Method with Importance Resampling to Evaluate Value-at-Risk," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(3), pages 261-295, September.
More about this item
Keywords
Derivative pricing; Quasi-Monte Carlo; Dimension reduction; Principal component analysis; Taylor approximation;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kap:compec:v:54:y:2019:i:1:d:10.1007_s10614-017-9732-2. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.