A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model (Q1998282): Difference between revisions

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English	A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model	scientific article

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scholarly article

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title

A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model (English)

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Mathematics and Computers in Simulation

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publication date

6 March 2021

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zbMATH Keywords

regime switching models

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Asian option pricing

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Monte-Carlo simulation

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variance reduction methods

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.matcom.2020.09.011

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cites work

A Dynamic Programming Procedure for Pricing American-Style Asian Options

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PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS

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Monte Carlo methods for security pricing

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Pricing exotic options under regime switching

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Q4323296

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Option pricing and Esscher transform under regime switching

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Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching

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Q5293976

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Regime-switching stochastic volatility model: estimation and calibration to VIX options

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Information and option pricings

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Estimating models based on Markov jump processes given fragmented observation series

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A stochastic calculus model of continuous trading: Complete markets

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The cumulant process and Esscher's change of measure

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Stochastic population dynamics under regime switching

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A new hybrid Monte Carlo simulation for Asian options pricing

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K-antithetic variates in Monte Carlo simulation

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Stochastic differential equations. An introduction with applications.

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Modified B-spline collocation approach for pricing American style Asian options

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Stochastic calculus for finance. II: Continuous-time models.

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Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions

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Identifiers

DOI

10.1016/j.matcom.2020.09.011

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:1998282

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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.matcom.2020.09.011
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@@ Property / OpenAlex ID @@
+W3087423436
@@ Property / OpenAlex ID: W3087423436 / rank @@
+Normal rank
@@ Property / cites work @@
+A Dynamic Programming Procedure for Pricing American-Style Asian Options
+Normal rank
@@ Property / cites work @@
+PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
+Normal rank
@@ Property / cites work @@
+Monte Carlo methods for security pricing
@@ Property / cites work: Monte Carlo methods for security pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing exotic options under regime switching
@@ Property / cites work: Pricing exotic options under regime switching / rank @@
+Normal rank
@@ Property / cites work @@
+Q4323296
@@ Property / cites work: Q4323296 / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing and Esscher transform under regime switching
+Normal rank
@@ Property / cites work @@
+Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
+Normal rank
@@ Property / cites work @@
+Q5293976
@@ Property / cites work: Q5293976 / rank @@
+Normal rank
@@ Property / cites work @@
+Regime-switching stochastic volatility model: estimation and calibration to VIX options
+Normal rank
@@ Property / cites work @@
+Information and option pricings
@@ Property / cites work: Information and option pricings / rank @@
+Normal rank
@@ Property / cites work @@
+Estimating models based on Markov jump processes given fragmented observation series
+Normal rank
@@ Property / cites work @@
+A stochastic calculus model of continuous trading: Complete markets
+Normal rank
@@ Property / cites work @@
+The cumulant process and Esscher's change of measure
+Normal rank
@@ Property / cites work @@
+Stochastic population dynamics under regime switching
+Normal rank
@@ Property / cites work @@
+A new hybrid Monte Carlo simulation for Asian options pricing
+Normal rank
@@ Property / cites work @@
+K-antithetic variates in Monte Carlo simulation
@@ Property / cites work: K-antithetic variates in Monte Carlo simulation / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic differential equations. An introduction with applications.
+Normal rank
@@ Property / cites work @@
+Modified B-spline collocation approach for pricing American style Asian options
+Normal rank
@@ Property / cites work @@
+Stochastic calculus for finance. II: Continuous-time models.
+Normal rank
@@ Property / cites work @@
+Efficient Pricing of European-Style Asian Options under Exponential Lévy Processes Based on Fourier Cosine Expansions
+Normal rank