Monte Carlo and quasi-Monte Carlomethods arewidely used in scientific studies.As quasi-Monte Carlo simulations have advantage over ordinaryMonte Carlomethods,this paper proposes a new quasi-Monte Carlo method to simul...Monte Carlo and quasi-Monte Carlomethods arewidely used in scientific studies.As quasi-Monte Carlo simulations have advantage over ordinaryMonte Carlomethods,this paper proposes a new quasi-Monte Carlo method to simulate Brownian sheet via its Karhunen–Loéve expansion.The proposed new approach allocates quasi-random sequences for the simulation of random components of the Karhunen–Loéve expansion by maximum reducing its variability.We apply the quasi-MonteCarlo approach to an option pricing problem for a class of interest rate models whose instantaneous forward rate driven by a different stochastic shock through Brownian sheet andwe demonstrate the application with an empirical problem.展开更多
基金The research of Yazhen Wang was supported in part by NSF[grant number DMS-12-65203][grant number DMS-15-28375].
文摘Monte Carlo and quasi-Monte Carlomethods arewidely used in scientific studies.As quasi-Monte Carlo simulations have advantage over ordinaryMonte Carlomethods,this paper proposes a new quasi-Monte Carlo method to simulate Brownian sheet via its Karhunen–Loéve expansion.The proposed new approach allocates quasi-random sequences for the simulation of random components of the Karhunen–Loéve expansion by maximum reducing its variability.We apply the quasi-MonteCarlo approach to an option pricing problem for a class of interest rate models whose instantaneous forward rate driven by a different stochastic shock through Brownian sheet andwe demonstrate the application with an empirical problem.
