"Monte Carlo Simulation with an Asymptotic Expansion in HJM Framework"(in Japanese)

Akihiko Takahashi and Shuichiro Matsushima
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Akihiko Takahashi: Faculty of Economics, The University of Tokyo
Shuichiro Matsushima: The University of Tokyo

No CIRJE-J-112, CIRJE J-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: 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
Date: 2004-05
New Economics Papers: this item is included in nep-cmp and nep-fin
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:tky:jseres:2004cj112

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