Determining the optimum confidence interval based on the hybrid Monte Carlo method and its application in financial calculations

  • Authors

    • Kianoush Fathi Vajargah Department of Statistics,Islamic Azad University,Tehran,North Branch,IRAN
    2014-12-15
    https://doi.org/10.14419/ijasp.v3i1.3773
  • Central Limit Theorem, Confidence Interval, Efficiency, Hybrid Method, Pricing Model.

  • Abstract

    The accuracy of Monte Carlo and quasi-Monte Carlo methods decreases in problems of high dimensions. Therefore, the objective of this study was to present an optimum method to increase the accuracy of the answer. As the problem gets larger, the resulting accuracy will be higher. In this respect, this study combined the two previous methods, QMC and MC, and presented a hybrid method with efficiency higher than that of those two methods.

  • References

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  • Received date: 2014-10-30

    Accepted date: 2014-11-24

    Published date: 2014-12-15