A new control variate estimator for an Asian option

DOI10.1007/S10690-006-9007-8MaRDI QIDQ2431779zbMATH OpenOpenAlexFDO

Authors Kenji Kamizono, Takeaki Kariya, Regina Y. Liu, 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

zbMATH Keywords

control variate estimatorMonte Carlo simulationoption pricingvariance reduction technique

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)

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Cites work

• Monte Carlo methods for security pricing

Cited in

(7)

• Valuation of a repriceable executive stock option
• Control variates and conditional Monte Carlo for basket and Asian options
• A new multiple control variate estimator for Asian options
• Variance reduction for Asian options under a general model framework
• Pricing Asian options with stochastic volatility
• On the valuation of discrete Asian options in high volatility environments
• Control variate methods and applications to Asian and basket options pricing under jump-diffusion models

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