Andreas Eichler, Gunther Leobacher, Heidrun Zellinger,
"Calibration of financial models using quasi-Monte Carlo"
, in Monte Carlo Methods and Applications, de Gruyter, Seite(n) 99-131, 2011, ISSN: 0929-9629
Original Titel:
Calibration of financial models using quasi-Monte Carlo
Sprache des Titels:
Englisch
Original Kurzfassung:
In the area of financial mathematics Monte Carlo simulation is often successfully
used to estimate the prices of certain products. However in many cases calibrating Monte
Carlo based models to market prices turns out to be difficult due to stochastic noise arising in
the objective functionals.
This noise can be reduced by the use of fixed point-sets of random numbers which are reused
for every new set of parameters (i.e. in every new step of the optimization algorithm used for
calibration).
In this paper we argue that the above technique can be enhanced by using fixed low discrep-
ancy point-sets (quasi-Monte Carlo method) instead of ones originating from Pseudo-Random-
Number generators. The method is applied to two different financial models and the results are
compared with the classical one.
Forschungs-