Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/32189 
Erscheinungsjahr: 
2008
Schriftenreihe/Nr.: 
CoFE Discussion Paper No. 08/11
Verlag: 
University of Konstanz, Center of Finance and Econometrics (CoFE), Konstanz
Zusammenfassung: 
In this paper we explain how the importance sampling technique can be generalized from simulating expectations to computing the initial value of backward SDEs with Lipschitz continuous driver. By means of a measure transformation we introduce a variance reduced version of the forward approximation scheme by Bender and Denk [4] for simulating backward SDEs. A fully implementable algorithm using the least-squares Monte Carlo approach is developed and its convergence is proved. The success of the generalized importance sampling is illustrated by numerical examples in the context of Asian option pricing under different interest rates for borrowing and lending.
Schlagwörter: 
BSDE
Numerics
Monte Carlo simulation
Variance reduction
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
223.71 kB





Publikationen in EconStor sind urheberrechtlich geschützt.