文章基本信息

标题：Determining the optimum confidence interval based on the hybrid Monte Carlo method and its application in financial calculations
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作者：Kianoush Fathi Vajargah
期刊名称：International Journal of Advanced Statistics and Probability
电子版ISSN：2307-9045
出版年度：2015
卷号：3
期号：1
页码：8-14
DOI：10.14419/ijasp.v3i1.3773
出版社：Journal of Advanced Computer Science & Technology
摘要：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.
关键词：Central Limit Theorem;Confidence Interval;Efficiency;Hybrid Method;Pricing Model.