Computing High Dimensional Integrals with Applications to Finance

  title={Computing High Dimensional Integrals with Applications to Finance},
  author={Spassimir H. Paskov},
High-dimensional integrals are usually solved with Monte Carlo algorithms although theory suggests that low discrepancy algorithms are sometimes superior. We report on numerical testing which compares low discrepancy and Monte Carlo algorithms on the evaluation of nancial derivatives. The testing is performed on a Collateralized Mortgage Obligation (CMO) which is formulated as the computation of ten integrals of dimension up to 360. We tested two low discrepancy algorithms (Sobol and Halton… CONTINUE READING
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