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发布时间:2013-10-15 来源:本站原创  


本周博士论坛安排

时间2013101814:00--15:30(周五)

主题 Importance Sampling for Pricing Financial Derivatives: Based on the Least Square Approach

主讲赵强

地点毓秀楼208

Abstract: This paper develops an effective importance sampling method for variance reduction when Monte Carlo simulation is used to compute the price of a financial derivative driven by high-dimensional Gaussian vector. Exponential change measure is well used to simultaneously change the drift vector and covariance matrix of the Gaussian vector. By analyzing the structure of the payoff function, a simple least square approach is used to estimate the new drift vector and covariance matrix. Our method has little smoothness requirements for the payoff function and doesn't rely on the initial value. The drift vector and covariance matrix of the new density can be estimated separately or simultaneously according to formulations of the payoff functions. We illustrate the use of the method with Asian options, Straddle options, Volatility swaps and Variance options. The numerical results show the high efficiency of the method.

Key words: Variance Reduction; Importance Sampling; Least Square; Exponential Twisting.

 







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