A generalized antithetic variates Monte-Carlo simulation method for pricing of Asian option in a Markov regime-switching model

DOI10.1016/J.MATCOM.2020.09.011MaRDI QIDQ1998282zbMATH OpenOpenAlexFDO

Authors Idin Noorani, Farshid Mehrdoust, Abdelaziz Nasroallah

Publication date 6 March 2021

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.matcom.2020.09.011

zbMATH Keywords

Asian option pricingMonte-Carlo simulationregime switching modelsvariance reduction methods

Mathematics Subject Classification ID

Mathematical programming (90Cxx) Actuarial science and mathematical finance (91Gxx)

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Cites work

• A dynamic programming procedure for pricing American-style Asian options
• A new hybrid Monte Carlo simulation for Asian options pricing
• A stochastic calculus model of continuous trading: Complete markets
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• scientific article; zbMATH DE number 722978 (Why is no real title available?)
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• K-antithetic variates in Monte Carlo simulation
• Markov models for pattern recognition. From theory to applications.
• Modified B-spline collocation approach for pricing American style Asian options
• Monte Carlo methods for security pricing
• Option pricing and Esscher transform under regime switching
• Pricing exotic options under regime switching
• PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
• Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
• Regime-switching stochastic volatility model: estimation and calibration to VIX options
• Stochastic calculus for finance. II: Continuous-time models.
• Stochastic differential equations. An introduction with applications.
• Stochastic population dynamics under regime switching
• The cumulant process and Esscher's change of measure

Cited in

(11)

• Pricing of spread and exchange options in a rough jump-diffusion market
• Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg-Marquardt optimization algorithm
• Stochastic stability analysis of particle swarm optimization with pseudo random number assignment strategy
• Valuation of option price in commodity markets described by a Markov-switching model: a case study of WTI crude oil market
• An efficient algorithm for pricing reinsurance contract under the regime-switching model
• An integral equation approach for pricing American put options under regime-switching model
• Correlation options pricing with exchange rate risk under regime-switching jump-diffusion models
• Pricing discretely monitored Asian options under regime-switching and stochastic volatility models with jumps
• Option pricing with exchange rate risk under regime-switching multi-scale jump-diffusion models
• Controlling antithetic variates
• Conditional expectation strategy under the long memory Heston stochastic volatility model

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