Name
Title | ||
|---|---|---|
financial derivatives and real options: an empirical evaluation of sampling methods in risk analysis simulation: quasi-monte carlo, descriptive sampling, and Latin Hypercube sampling |
Abstract | ||
|---|---|---|
This paper compares the performance, in terms of convergence rates and precision of the estimates, for six Monte Carlo Simulation sampling methods: Quasi-Monte Carlo using Halton, Sobol, and Faure numeric sequences; Descriptive Sampling, based on the use of deterministic sets and Latin Hypercube Sampling, based on stratified numerical sets. Those methods are compared to the classical Monte Carlo. The comparison was made for two basic risky applications: the first one evaluates the risk in a decision making process when launching a new product; the second evaluates the risk of accomplishing an expected rate of return in a correlated stock portfolio. Descriptive sampling and Latin Hypercube sampling have shown the best aggregate results. |
Year | DOI | Venue |
|---|---|---|
2002 | 10.5555/1030453.1030688 | Winter Simulation Conference |
Keywords | Field | DocType |
quasi-monte carlo,descriptive sampling,aggregate result,classical monte carlo,empirical evaluation,latin hypercube sampling,faure numeric sequence,basic risky application,monte carlo simulation,sampling method,convergence rate,financial derivative | Econometrics,Rejection sampling,Importance sampling,Sampling design,Computer science,Quasi-Monte Carlo method,Sampling (statistics),Stratified sampling,Monte Carlo integration,Statistics,Latin hypercube sampling | Conference |
ISBN | Citations | PageRank |
0-7803-7615-3 | 1 | 0.39 |
References | Authors | |
4 | 2 | |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Eduardo Saliby | 1 | 19 | 3.41 |
| Flavio Pacheco | 2 | 1 | 0.39 |