FASTER VALUATION OF FINANCIAL DERIVATIVES

被引：187

作者：

PASKOV, SH ^{[1
]}

TRAUB, JF ^{[1
]}

机构：

[1] COLUMBIA UNIV,NEW YORK,NY 10027

来源：

JOURNAL OF PORTFOLIO MANAGEMENT | 1995年 / 22卷 / 01期

关键词：

D O I：

10.3905/jpm.1995.409541

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Monte Carlo simulation is widely used to value complex financial instruments. Theory, however, suggests that ''low-discrepancy'' methods might be superior. The authors compare the performance of low-discrepancy methods with Monte Carlo on a CMO with ten tranches. They find that a particular low-discrepancy method based on Sobol points consistently outperforms Monte Carlo. Although their tests are for a CMO, they believe it will be advantageous to use the Sobol method for many other types of instruments.

引用

页码：113 / &