Figure 1. (a) Scatter plot of 1000 pseudorandom numbers; (b) scatter plot of 1000 Sobol’ numbers (one example of quasi-random numbers).
Table 1. (i, j) pairs for 99 largest λij in Karhunen–Loéve expansion.
Table 2. Implied forward interest rates.
Table 3. Parameter estimates of volatility and correlation functions.
Table 4. Deliverable bonds.
Table 5. Simulation results of the option prices.
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