Faster Valuation of Financial Derivatives

@inproceedings{Paskov1995FasterVO,
  title={Faster Valuation of Financial Derivatives},
  author={S. Paskov and J. Traub},
  year={1995}
}
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 financial 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… Expand
362 Citations
New Methodologies for Valuing
  • DerivativesSPASSIMIR H. PASKOV
  • 1997
  • 6
  • PDF
Pricing Options Using Lattice Rules
  • 22
Path Generation for Quasi-Monte Carlo Simulation of Mortgage-Backed Securities
  • 40
Monte Carlo and quasi-Monte Carlo methods in financial derivative pricing
  • 4
QUASI-MONTE CARL 0 METHODS
  • PDF
Direct simulation of price particles for option pricing using Monte-Carlo
...
1
2
3
4
5
...

References

SHOWING 1-10 OF 14 REFERENCES
New methodologies for valuing derivatives
  • 68
Dealing with the Complexity of Economic Calculations
  • 29
Random number generation and Quasi-Monte Carlo methods
  • H. Niederreiter
  • Mathematics, Computer Science
  • CBMS-NSF regional conference series in applied mathematics
  • 1992
  • 3,501
Breaking Intractability
  • Breaking Intractability
  • 1994
Breaking Intractability, Scienti c American, Jan
  • 1994
Suddenly, Number Theory Makes Sense to Industry
  • 4
Numerical Recipes in C, Second Edition
  • Numerical Recipes in C, Second Edition
  • 1992
Random NumberGeneration and Quasi-Monte Carlo Methods, CBMS- NSF,63
  • SIAM, Philadelphia,
  • 1992
American Home Products Corp
    ...
    1
    2
    ...