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- W2360758828 abstract "Methods for constructing standard Winner Process can have a very important influence on estimation result of Monte Carlo simulation in the course of pricing financial derivative securities. This paper makes a brief analysis for existing constructing methods such as traditional standard Winner Process and Brownian-Bridge. Then, basing on fundamental idea of principal component analysis, we carry a deep research and exploration for principal component constructing method, which may be used to reduce effective dimensions of solved problem, and its application in pricing high-dimension derivative securities. Lastly, this paper gives an effective way to improve simulation result of Monte Carlo methods in pricing high-dimension derivative securities." @default.
- W2360758828 created "2016-06-24" @default.
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- W2360758828 date "2002-01-01" @default.
- W2360758828 modified "2023-09-23" @default.
- W2360758828 title "Quasi-Monte Carlo Method for Financial Derivatives Securities Based on Principal Component Analysis" @default.
- W2360758828 hasPublicationYear "2002" @default.
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