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- W3122201375 abstract "We consider $N$ Bernoulli random variables, which are independent conditional on a common random factor determining their probability distribution. We show that certain expected functionals of the proportion $L_N$ of variables in a given state converge at rate $1/N$ as $Nrightarrow infty$. Based on these results, we propose a multi-level simulation algorithm using a family of sequences with increasing length, to obtain estimators for these expected functionals with a mean-square error of $epsilon^2$ and computational complexity of order $epsilon^{-2}$, independent of $N$. In particular, this optimal complexity order also holds for the infinite-dimensional limit. Numerical examples are presented for tranche spreads of basket credit derivatives." @default.
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- W3122201375 date "2012-11-01" @default.
- W3122201375 modified "2023-09-28" @default.
- W3122201375 title "Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives" @default.
- W3122201375 hasPublicationYear "2012" @default.
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