Measuring Interest Rate Risk with Embedded Option Using HPL-MC Method in Fuzzy and Stochastic Environment

Table 3

Simulation results of MC and HPC.

Simulation parameters			f(t) = 0.05888,  = 0.3, and  = 0.041
Simulation times			100	500	1000	5000	10000	40000
Simulation method	MC		86.8452	86.8546	86.5955	86.3424	86.1682	86.0492
	HPL-MC	K = 8	86.2644	86.2614	86.1546	86.0982	86.0479
		K = 12	86.2346	86.2245	86.1525	86.0979	86.0487