Exact retrospective Monte Carlo computation of arithmetic average Asian options
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Abstract: Taking advantage of the recent litterature on exact simulation algorithms (Beskos, Papaspiliopoulos and Roberts) and unbiased estimation of the expectation of certain fonctional integrals (Wagner, Beskos et al. and Fearnhead et al.), we apply an exact simulation based technique for pricing continuous arithmetic average Asian options in the Black and Scholes framework. Unlike existing Monte Carlo methods, we are no longer prone to the discretization bias resulting from the approximation of continuous time processes through discrete sampling. Numerical results of simulation studies are presented and variance reduction problems are considered.
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- scientific article; zbMATH DE number 1978948
Cites work
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Cited in
(11)- Unbiased simulation of stochastic differential equations
- \(\varepsilon\)-strong simulation of the Brownian path
- On the pricing of Asian options with geometric average of American type with stochastic interest rate: a stochastic optimal control approach
- On nonnegative unbiased estimators
- Sequential Monte Carlo methods for option pricing
- Nearly exact option price simulation using characteristic functions
- Unbiased Sensitivity Estimation of One-Dimensional Diffusion Processes
- Importance sampling for backward SDEs
- Unbiased Monte Carlo estimate of stochastic differential equations expectations
- A strengthened solution to option manipulation
- Unbiased simulation of Asian options
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