Research

漸近展開を用いたHJMモデルにおけるオプション・プライシング(FSAリサーチ・レビュー2004,82-103, 2004に掲載)

Author

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.
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