Exact retrospective Monte Carlo computation of arithmetic average Asian options

DOI10.1515/mcma.2007.008zbMath1192.91178arXiv0704.1433OpenAlexW2123232459MaRDI QIDQ5421246

Mohamed Karim Sbai, Benjamin Jourdain

Publication date: 22 October 2007

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0704.1433

zbMATH Keywords

Black-Scholes frameworkPoisson estimatorarithmetic average Asian options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (9)

A strengthened solution to option manipulation ⋮ Sequential Monte Carlo Methods for Option Pricing ⋮ Importance Sampling for Backward SDEs ⋮ \(\varepsilon\)-strong simulation of the Brownian path ⋮ Unbiased Monte Carlo estimate of stochastic differential equations expectations ⋮ Unbiased simulation of stochastic differential equations ⋮ On the pricing of Asian options with geometric average of American type with stochastic interest rate: a stochastic optimal control approach ⋮ Unbiased Sensitivity Estimation of One-Dimensional Diffusion Processes ⋮ On nonnegative unbiased estimators

Cites Work

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

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