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A central limit theorem for Latin hypercube sampling with dependence and application to exotic basket option pricing

Aistleitner, Christoph; Hofer, Markus; Tichy, Robert
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 19/11/2013 Português
Relevância na Pesquisa
We consider the problem of estimating $\mathbb{E} [f(U^1, \ldots, U^d)]$, where $(U^1, \ldots, U^d)$ denotes a random vector with uniformly distributed marginals. In general, Latin hypercube sampling (LHS) is a powerful tool for solving this kind of high-dimensional numerical integration problem. In the case of dependent components of the random vector $(U^1, \ldots, U^d)$ one can achieve more accurate results by using Latin hypercube sampling with dependence (LHSD). We state a central limit theorem for the $d$-dimensional LHSD estimator, by this means generalising a result of Packham and Schmidt. Furthermore we give conditions on the function $f$ and the distribution of $(U^1, \ldots, U^d)$ under which a reduction of variance can be achieved. Finally we compare the effectiveness of Monte Carlo and LHSD estimators numerically in exotic basket option pricing problems.