A new hybrid Monte Carlo simulation for Asian options pricing (Q5220733)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: A new hybrid Monte Carlo simulation for Asian options pricing |
scientific article; zbMATH DE number 7183082
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | A new hybrid Monte Carlo simulation for Asian options pricing |
scientific article; zbMATH DE number 7183082 |
Statements
A new hybrid Monte Carlo simulation for Asian options pricing (English)
0 references
27 March 2020
0 references
Monte Carlo simulation
0 references
arithmetic Asian options
0 references
Brownian bridge
0 references
variance reduction
0 references
multiple control variates
0 references
antithetic variates
0 references
0 references
0 references
0.8405907154083252
0 references
0.8400323390960693
0 references
0.8263382315635681
0 references
0.8160167336463928
0 references
