An efficient acceleration Monte Carlo simulation for pricing Asian option under variance gamma process by splitting (Q5031764)
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scientific article; zbMATH DE number 7474787
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| English | An efficient acceleration Monte Carlo simulation for pricing Asian option under variance gamma process by splitting |
scientific article; zbMATH DE number 7474787 |
Statements
An efficient acceleration Monte Carlo simulation for pricing Asian option under variance gamma process by splitting (English)
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16 February 2022
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variance gamma process
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Asian options
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conditional Monte Carlo method
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importance sampling
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control variate
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moments match
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0.8142225742340088
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0.8125187158584595
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0.8083832263946533
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0.8056511878967285
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0.7947391271591187
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