A simple variance reduction method with applications to finance and queueing theory (Q2724987)
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scientific article; zbMATH DE number 1618525
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A simple variance reduction method with applications to finance and queueing theory |
scientific article; zbMATH DE number 1618525 |
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17 June 2003
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antithetic random numbers
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diffusion process
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variance reduction method
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constant elasticity of variance
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oscillators
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finance
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Euler scheme
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stochastic differential equation
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Brownian motion
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queueing networks
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0.8771235
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0.8716117
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0.85727745
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0.85581934
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0.8543235
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A simple variance reduction method with applications to finance and queueing theory (English)
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The paper shows examples in finance and queueing theory for the application of antithetic random numbers (ARN) [Costantini, Math. Comp. Simul. (1999)]. The first example is the constant elasticity model [Cox, J. Portfolio Management (1996)] for the behaviour of financial assets, discretized by a modified Euler scheme. The second example given also deals with a Euler type discretization scheme for a stochastic differential equation with reflections in the positive orthant. In a special case one gets reflecting Brownian motion in the positive orthant which arises as approximation of queueing networks under heavy traffic conditions.
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