Monte Carlo Simulation with an Asymptotic Expansion in HJM Framework
Akihiko Takahashi and
Additional contact information
Akihiko Takahashi: Faculty of Economics, The University of Tokyo
Shuichiro Matsushima: The University of Tokyo
No CARF-J-005, CARF J-Series from Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo
We developed a variance reduction method of Monte Carlo simulations as well as an approximation formula based on an asymptotic expansion approach for pricing bond options and swaptions in HJM framework. As a numerical example we applied the technique to a realistic two-factor model and confirmed its validity.
Pages: 31 pages
References: Add references at CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:cfi:jseres:cj005
Access Statistics for this paper
More papers in CARF J-Series from Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo Contact information at EDIRC.
Bibliographic data for series maintained by ().