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

Baldeaux, J; Chan, L; Platen, E

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

Baldeaux, J Chan, L Platen, E

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Publication Type:: Conference Proceeding
Citation:: ANZIAM Journal, 2010, 52
Issue Date:: 2010-12-01

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Field	Value	Language
dc.contributor.author	Baldeaux, J	en_US
dc.contributor.author	Chan, L	en_US
dc.contributor.author	Platen, E https://orcid.org/0000-0003-4595-3123	en_US
dc.date.issued	2010-12-01	en_US
dc.identifier.citation	ANZIAM Journal, 2010, 52	en_US
dc.identifier.issn	1446-1811	en_US
dc.identifier.uri	http://hdl.handle.net/10453/123020
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 the terminal value of the index. Employing a transformation mapping for this joint density to the unit square reduces the diffculty of the resulting integration problem. The quasi-Monte Carlo methods compare favourably to Monte Carlo methods when applied to the given problem. © Austral. Mathematical Soc. 2011.	en_US
dc.relation.ispartof	ANZIAM Journal	en_US
dc.subject.classification	General Mathematics	en_US
dc.subject.classification	Numerical & Computational Mathematics	en_US
dc.title	Quasi-Monte carlo methods for derivatives on realised variance of an index under the benchmark approach	en_US
dc.type	Conference Proceeding
utslib.citation.volume	52	en_US
utslib.for	0103 Numerical and Computational Mathematics	en_US
utslib.for	01 Mathematical Sciences	en_US
utslib.for	09 Engineering	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Science
pubs.organisational-group	/University of Technology Sydney/Faculty of Science/School of Mathematical and Physical Sciences
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	closed_access
pubs.publication-status	Published	en_US
pubs.volume	52	en_US

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 the terminal value of the index. Employing a transformation mapping for this joint density to the unit square reduces the diffculty of the resulting integration problem. The quasi-Monte Carlo methods compare favourably to Monte Carlo methods when applied to the given problem. © Austral. Mathematical Soc. 2011.

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http://hdl.handle.net/10453/123020