用于金融应用的高效黄土

ERN: Asset Pricing Models (Topic) Pub Date : 2021-10-25 DOI:10.2139/ssrn.3949349

K. Haven

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引用次数: 0

摘要

提出了一种改进的黄土算法，该算法适用于金融工程中常见的蒙特卡罗定价任务。本文对黄土算法进行了全面的概述，然后提出了改进效率的建议，并讨论了变量选择的策略，这些策略可以降低维数，从而进一步提高效率和稳定性。数值结果表明了该方法的有效性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Efficient LOESS For Financial Applications

An improved efficiency version of the LOESS algorithm is proposed that is applicable to the Monte Carlo pricing tasks common in financial engineering. A self-contained overview of the LOESS algorithm is presented followed by the suggested efficiency modifications and a discussion of strategies for variable selection that can reduce dimensionality for further improvements in efficiency as well as stability. Some numerical results are shown as a demonstration of the suggested approach.

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ERN: Asset Pricing Models (Topic)

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