A new control variate estimator for an Asian option (Q2431779)
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scientific article; zbMATH DE number 5066434
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A new control variate estimator for an Asian option |
scientific article; zbMATH DE number 5066434 |
Statements
A new control variate estimator for an Asian option (English)
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24 October 2006
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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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0.9204161167144777
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0.8394774794578552
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0.8355222940444946
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0.8320050239562988
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0.7927526831626892
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