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）

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.