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

Author

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  • Akihiko Takahashi

    (Faculty of Economics, The University of Tokyo)

  • Shuichiro Matsushima

    (The University of Tokyo)

Abstract

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.

Suggested Citation

  • Akihiko Takahashi & Shuichiro Matsushima, 2004. ""Monte Carlo Simulation with an Asymptotic Expansion in HJM Framework"(in Japanese)," CIRJE J-Series CIRJE-J-112, CIRJE, Faculty of Economics, University of Tokyo.
    • Handle: RePEc:tky:jseres:2004cj112
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    File URL: http://www.cirje.e.u-tokyo.ac.jp/research/dp/2004/2004cj112.pdf
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    Cited by:

    1. Akihiko Takahashi & Masashi Toda, 2013. "Note On An Extension Of An Asymptotic Expansion Scheme," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(05), pages 1-23.
    2. Akihiko Takahashi, 2015. "Asymptotic Expansion Approach in Finance," CARF F-Series CARF-F-356, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Aug 2015.

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