Exact retrospective Monte Carlo computation of arithmetic average Asian options (Q5421246): Difference between revisions

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+Estimating Security Price Derivatives Using Simulation
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+On the Lambert \(w\) function
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+Changes of numéraire, changes of probability measure and option pricing
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+The value of an Asian option
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+A note on the existence of unique equivalent martingale measures in a Markovian setting
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+Unbiased Monte Carlo evaluation of certain functional integrals
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+Monte carlo evaluation of functionals of solutions of stochastic differential equations. variance reduction and numerical examples
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+Unbiased multi-step estimators for the Monte Carlo evaluation of certain functional integrals
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+On the martingale property of stochastic exponentials
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