Importance Sampling in the Heath-Jarrow-Morton Framework
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چکیده
FALL 1999 This article develops a variance-reduction technique for pricing derivatives by simulation in highdimensional multifactor models. A premise of this work is that the greatest gains in simulation efficiency come from taking advantage of the structure of both the cash flows of a security and the model in which it is priced. For this to be feasible in practice requires automating the identification and use of relevant structure.
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Importance Sampling in the Heath-jarrow-morton Framework Importance Sampling in the Heath-jarrow-morton Framework
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