A new control variate estimator for an Asian option (Q2431779)

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A new control variate estimator for an Asian option
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    title
    A new control variate estimator for an Asian option (English)
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    author
    Kenji Kamizono
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    Takeaki Kariya
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    Regina Y. Liu
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    Teruo Nakatsuma
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    publication date
    24 October 2006
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    Mathematics Subject Classification ID
    91G20
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    91G70
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    65C05
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    91G60
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    zbMATH DE Number
    5066434
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    zbMATH Keywords
    control variate estimator
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    variance reduction technique
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    Monte Carlo simulation
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    option pricing
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    OpenAlex ID
    W2031530132
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