Pricing forward-starting power Asian options with floating strike price

MaRDI QIDQ3175897zbMATHFDO

Authors Guangming Xue, Guohe Deng

Publication date 18 July 2018

zbMATH Keywords

Monte Carlo simulationvariance reduction techniquepower optionsfloating strike priceforward-starting Asian option

Mathematics Subject Classification ID

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

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