A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model (Q1998282)
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scientific article; zbMATH DE number 7318206
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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; zbMATH DE number 7318206 |
Statements
A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model (English)
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6 March 2021
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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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0.8392572402954102
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0.8274425268173218
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0.8249685764312744
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0.8102943301200867
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