Path generation for quasi-Monte Carlo simulation of mortgage-backed securities

Management Science

Volumn 46, Issue 9, 2000, Pages 1171-1187

  Åkesson, Fredrik ^a   Lehoczky, John P ^a  

^a NONE

Author keywords

[No Author keywords available]

Indexed keywords

BROWNIAN MOVEMENT; COMPUTER SIMULATION; MARKETING; MARKOV PROCESSES; MONTE CARLO METHODS; PROBABILITY DENSITY FUNCTION; SALES; STATISTICAL METHODS;

BROWNIAN BRIDGE; MORTGAGE BACKED SECURITIES; OPTION PRICING; PRINCIPAL COMPONENT DECOMPOSITION; QUASI MONTE CARLO SIMULATION;

FINANCE;

EID: 0033696487     PISSN: 00251909     EISSN: None     Source Type: Journal    
DOI: 10.1287/mnsc.46.9.1171.12239     Document Type: Article

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