A new control variate estimator for an Asian option
From MaRDI portal
Publication:2431779
DOI10.1007/s10690-006-9007-8zbMath1189.91208MaRDI QIDQ2431779
Takeaki Kariya, Regina Y. Liu, Kenji Kamizono, Teruo Nakatsuma
Publication date: 24 October 2006
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10690-006-9007-8
91G60: Numerical methods (including Monte Carlo methods)
91G70: Statistical methods; risk measures
65C05: Monte Carlo methods
91G20: Derivative securities (option pricing, hedging, etc.)
Cites Work