Article1993

Constructing Optimal Samples from a Binomial Lattice

28 citations0/0 files storedJournal of Information and Optimization Sciences

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Stochastic processes and financial applications Simulation Techniques and Applications Mathematical Approximation and Integration

Abstract

This paper addresses the problem of sampling paths from a binomial lattice model of the term structure of interest rates. It characterizes the accuracy in the estimation of path dependent discount functions and it provides a simple procedure for sampling paths that will produce a prespecified level of accuracy. The developed technique is demonstrated using a pricing model from mortgage-backed financing.

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References

1990A One-Factor Model of Interest Rates and Its Application to Treasury Bond Options 1989Prepayments on fixed-rate mortgage-backed securities 1993Financial Optimization 1992Complete Prepayment Models for Mortgage-Backed Securities 1987A Generalized Framework for Pricing Contingent Cash Flows

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