一种使用量子化布朗运动作为控制变量的方差减少技术

IF 0.8 4区经济学 Q4 BUSINESS, FINANCE

Journal of Computational Finance Pub Date : 2012-12-03 DOI:10.21314/JCF.2012.242

A. Lejay, Victor Reutenauer

引用次数: 16

摘要

本文提出了一种新的扩散过程方差减少技术，其中控制变量是利用潜在布朗运动的Karhunen-Loeve分解系数的量化来构造的。这种方法确实可以用于其它高斯过程。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

A VARIANCE REDUCTION TECHNIQUE USING A QUANTIZED BROWNIAN MOTION AS A CONTROL VARIATE

This article presents a new variance reduction technique for diffusion processes where a control variate is constructed using a quantization of the coefficients of the Karhunen-Loeve decomposition of the underlying Brownian motion. This method may be indeed used for other Gaussian processes.

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来源期刊

Journal of Computational Finance BUSINESS, FINANCE-

CiteScore

0.90

自引率

0.00%

发文量

期刊介绍： The Journal of Computational Finance is an international peer-reviewed journal dedicated to advancing knowledge in the area of financial mathematics. The journal is focused on the measurement, management and analysis of financial risk, and provides detailed insight into numerical and computational techniques in the pricing, hedging and risk management of financial instruments. The journal welcomes papers dealing with innovative computational techniques in the following areas: Numerical solutions of pricing equations: finite differences, finite elements, and spectral techniques in one and multiple dimensions. Simulation approaches in pricing and risk management: advances in Monte Carlo and quasi-Monte Carlo methodologies; new strategies for market factors simulation. Optimization techniques in hedging and risk management. Fundamental numerical analysis relevant to finance: effect of boundary treatments on accuracy; new discretization of time-series analysis. Developments in free-boundary problems in finance: alternative ways and numerical implications in American option pricing.