Quasi-Monte Carlo methods for derivatives on realised variance of an index under the benchmark approach

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dc.contributor.author Baldeaux, Jan en_US
dc.contributor.author Chan, Leung Lung en_US
dc.contributor.author Platen, Eckhard en_US
dc.contributor.editor William McLean and Anthony John Roberts en_US
dc.date.accessioned 2012-10-12T03:35:47Z
dc.date.available 2012-10-12T03:35:47Z
dc.date.issued 2011 en_US
dc.identifier 2011000275 en_US
dc.identifier.citation Baldeaux Jan, Chan Leung Lung, and Platen Eckhard 2011, 'Quasi-Monte Carlo methods for derivatives on realised variance of an index under the benchmark approach', , Australian Mathematical Scoiety, Australia, , pp. C727-C741. en_US
dc.identifier.issn 1446-8735 en_US
dc.identifier.other E1 en_US
dc.identifier.uri http://hdl.handle.net/10453/19062
dc.description.abstract We apply quasi-Monte Carlo methods to the pricing of derivatives on realised variance of an index under the benchmark approach. The resulting integration problem is shown to depend on the joint density of the realised variance of the index and t he terminal value of the index. Employing a transformation mapping for this joint density to the unit square reduces the difficulty of the resulting integration problem. The quasi-Monte Carlo methods compare favourably to Monte Carlo methods when applied to the given problem. en_US
dc.language en_US
dc.publisher Australian Mathematical Scoiety en_US
dc.relation.isbasedon http://anziamj.austms.org.au/ojs/index.php/ANZIAMJ/article/view/3946 en_US
dc.title Quasi-Monte Carlo methods for derivatives on realised variance of an index under the benchmark approach en_US
dc.parent ANZIAM Journal: Proceedings Computational Techniques and Applications Conference en_US
dc.journal.volume en_US
dc.journal.number en_US
dc.publocation Australia en_US
dc.identifier.startpage C727 en_US
dc.identifier.endpage C741 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 010205 en_US
dc.personcode 109782 en_US
dc.personcode 104472 en_US
dc.personcode 970685 en_US
dc.percentage 100 en_US
dc.classification.name Financial Mathematics en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom CTAC2010: Computational Techniques and Applications Conference en_US
dc.date.activity 20101128 en_US
dc.location.activity Sydney, Australia en_US
dc.description.keywords derivatives, realised variance, index variance, transformation mapping en_US
dc.staffid en_US
dc.staffid 970685 en_US


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