Bibliographic Details
| Title: |
Efficient Monte Carlo simulation for integral functionals of Brownian motion. |
| Authors: |
Kolkiewicz, Adam W.1 wakolkie@uwaterloo.ca |
| Source: |
Journal of Complexity. Jun2014, Vol. 30 Issue 3, p255-278. 24p. |
| Subjects: |
Integral functions, Monte Carlo method, Brownian motion, Analysis of variance, Vector analysis, Brownian bridges (Mathematics), Mathematical sequences |
| Abstract: |
Abstract: In the paper, we develop a variance reduction technique for Monte Carlo simulations of integral functionals of a Brownian motion. The procedure is based on a new method of sampling the process, which combines the Brownian bridge construction with conditioning on integrals along paths of the process. The key element in our method is the identification of a low-dimensional vector of variables that reduces the dimension of the integration problem more effectively than the Brownian bridge. We illustrate the method by applying it in conjunction with low-discrepancy sequences to the problem of pricing Asian options. [Copyright &y& Elsevier] |
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| Database: |
Engineering Source |
