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

Baldeaux, J; Chan, LL; Platen, E

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

Baldeaux, J Chan, LL Platen, E

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Publisher:: Australian Mathematical Scoiety
Publication Type:: Conference
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.
Issue Date:: 2011

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Field	Value	Language
dc.contributor.author	Baldeaux, J	en_US
dc.contributor.author	Chan, LL	en_US
dc.contributor.author	Platen, E	en_US
dc.contributor.editor	William McLean and Anthony John Roberts	en_US
dc.date	20101128	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.publisher	Australian Mathematical Scoiety	en_US
dc.relation.ispartof	ANZIAM Journal: Proceedings Computational Techniques and Applications Conference	en_US
dc.relation.ispartof	Verified OK	en_US
dc.relation.isbasedon	http://anziamj.austms.org.au/ojs/index.php/ANZIAMJ/article/view/3946	en_US
dc.subject	derivatives, realised variance, index variance, transformation mapping	en_US
dc.subject.classification	Financial 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
utslib.location	Australia	en_US
utslib.citation.startpage	C727	en_US
utslib.citation.endpage	C741	en_US
utslib.identifier.org	BUS.School of Finance and Economics	en_US
utslib.for	010205	en_US
utslib.percentage	100	en_US
dc.location.activity	Sydney, Australia	en_US
utslib.copyright.status	closed_access

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.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/19062