Control variates and conditional Monte Carlo for basket and Asian options
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Publication:2443219
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Cites work
- Accurate closed-form approximation for pricing Asian and basket options
- Adaptive optimal allocation in stratified sampling methods
- An improved convolution algorithm for discretely sampled Asian options
- Analytic approximations for multi-asset option pricing
- Approximated moment-matching dynamics for basket-options pricing
- Asymptotically optimal allocation of stratified sampling with adaptive variance reduction by strata
- Asymptotically optimal importance sampling and stratification for pricing path-dependent options
- Efficient Monte Carlo pricing of European options using mean value control variates
- Finite difference methods in financial engineering. A partial differential approach. With CD-ROM
- scientific article; zbMATH DE number 1999206 (Why is no real title available?)
- scientific article; zbMATH DE number 1790434 (Why is no real title available?)
- Moment matching approximation of Asian basket option prices
- Monte Carlo and quasi-Monte Carlo sampling
- On adaptive stratification
- Optimal importance sampling with explicit formulas in continuous time
- Prices and sensitivities of Asian options: A survey
- Pricing of arithmetic basket options by conditioning.
- Quasi-Monte Carlo methods in financial engineering: an equivalence principle and dimension reduction
- Sequential Monte Carlo methods for option pricing
- Stochastic simulation: Algorithms and analysis
- Valuing Asian and Portfolio Options by Conditioning on the Geometric Mean Price
- Variance reduction via lattice rules
Cited in
(17)- Efficient Monte Carlo pricing of European options using mean value control variates
- A hybrid Monte Carlo acceleration method of pricing basket options based on splitting
- Conditional quasi-Monte Carlo methods and dimension reduction for option pricing and hedging with discontinuous functions
- A general control variate method for multi-dimensional SDEs: an application to multi-asset options under local stochastic volatility with jumps models in finance
- Efficient basket Monte Carlo option pricing via a simple analytical approximation
- Expected shortfall computation with multiple control variates
- A new control variate estimator for an Asian option
- A new multiple control variate estimator for Asian options
- scientific article; zbMATH DE number 1790434 (Why is no real title available?)
- Variance reduction for Asian options under a general model framework
- An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate
- Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions
- A new hybrid Monte Carlo simulation for Asian options pricing
- Efficient Monte Carlo option pricing under CEV model
- Control variate methods and applications to Asian and basket options pricing under jump-diffusion models
- Application of a control variate Monte Carlo method for pricing basket option under stochastic interest rates
- New control variates for pricing basket options
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