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

Kianoush Fathi Vajargah

doi:10.14419/ijasp.v3i1.3773

Article Details

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

Authors:

Kianoush Fathi Vajargah

Publisher:

Science Publishing Corporation

Journal:

International Journal of Advanced Statistics and Probability Vol.3 Issue 1, pp.8-14

Document Type:

Article

Publication Date:

12/2014

Document Language:

English

Document ID (Org No.):

2001386985

pISSN:

2307-9045

DOI:

10.14419/ijasp.v3i1.3773

Keywords:

Central Limit Theorem

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.

Article Details

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

Authors: Kianoush Fathi Vajargah

Publisher: Science Publishing Corporation

Journal: International Journal of Advanced Statistics and Probability Vol.3 Issue 1, pp.8-14

Document Type: Article

Publication Date: 12/2014

Document Language: English

Document ID (Org No.): 2001386985

pISSN: 2307-9045

DOI: 10.14419/ijasp.v3i1.3773

Central Limit Theorem

Issues

Authors:

Kianoush Fathi Vajargah

Publisher:

Science Publishing Corporation

Journal:

International Journal of Advanced Statistics and Probability Vol.3 Issue 1, pp.8-14

Document Type:

Article

Publication Date:

12/2014

Document Language:

English

Document ID (Org No.):

2001386985

pISSN:

2307-9045

DOI:

10.14419/ijasp.v3i1.3773