QMC techniques for CAT bond pricing
نویسندگان
چکیده
Pricing of catastrophe bonds leads to integrals with discontinuous and formally infinite-dimensional integrands. We investigate the suitability of QuasiMonte Carlo methods for the numerical evaluation of these integrals and develop several variance-reduction algorithms. Furthermore, the performance of Quasi-Monte Carlo sequences for asymptotically efficient rare event simulation is examined. Various numerical illustrations are given.
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ورودعنوان ژورنال:
- Monte Carlo Meth. and Appl.
دوره 10 شماره
صفحات -
تاریخ انتشار 2004